The Error in Rejection Probability of Simple Autocorrelation Robust Tests
提出一类新的自相关稳健检验统计量，推广了Kiefer等人(2000)的检验，并证明在高斯位置模型中其拒绝概率误差为O(T⁻¹logT)。
A new class of autocorrelation robust test statistics is introduced. The class of tests generalizes the Kiefer, Vogelsang, and Bunzel (2000) test in a manner analogous to Anderson and Darling's (1952) generalization of the Cramér-von Mises goodness of fit test. In a Gaussian location model, the error in rejection probability of the new tests is found to be O(T-super--1logT), where T denotes the sample size. Copyright The Econometric Society 2004.