作者：LIGERALDE, AV; BROWN, BW
作者单位：Rice University
摘要：Using Monte Carlo simulations, we examine the performance of Wald-type test statistics based on alternative versions of a heteroskedasticity consistent band covariance matrix estimator which is algorithmically constrained to be positive definite in finite samples. We find that the test statistic based on the originally proposed estimator tends to result in excessive Type I errors. This problem can be alleviated to some extent by employing a quasi-maximum likelihood procedure. However, by simpl...
