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The performance of heteroskedasticity and autocorrelation robust tests: a Monte Carlo study with an application to the three-factor Fama-French asset-pricing model

Ray, Surajit; Savin, N. E. - In: Journal of Applied Econometrics 23 (2008) 1, pp. 91-109

This paper illustrates the pitfalls of the conventional heteroskedasticity and autocorrelation robust (HAR) Wald test and the advantages of new HAR tests developed by Kiefer and Vogelsang in 2005 and by Phillips, Sun and Jin in 2003 and 2006. The illustrations use the 1993 Fama-French...

Persistent link: https://www.econbiz.de/10005764746

Robust Wald tests in SUR systems with adding-up restrictions

Ravikumar, B.; Ray, Surajit; Savin, N. Eugene - In: Econometrica : journal of the Econometric Society, an … 68 (2000) 3, pp. 715-719

Persistent link: https://www.econbiz.de/10001476525

Testing the CAPM revisited

Ray, Surajit; Savin, N. Eugene; Tiwari, Ashish - In: Journal of empirical finance 16 (2009) 5, pp. 721-733

Persistent link: https://www.econbiz.de/10003900383

The performance of heteroskedasticity and autocorrelation robust tests : a Monte Carlo study with an application to the three-factor Fama-French asset-pricing model

Ray, Surajit; Savin, N. Eugene - In: Journal of applied econometrics 23 (2008) 1, pp. 91-109

Persistent link: https://www.econbiz.de/10003682851