Sun, Yixiao; Kim, Min Seong - In: Journal of Econometrics 166 (2012) 2, pp. 267-281
Based on the series long run variance estimator, we propose a new class of over-identification tests that are robust to heteroscedasticity and autocorrelation of unknown forms. We show that when the number of terms used in the series long run variance estimator is fixed, the conventional J...