Journal article
The performance of heteroskedasticity and autocorrelation robust tests: a Monte Carlo study with an application to the three-factor Fama-French asset-pricing model
Journal of applied econometrics (Chichester, England), Vol.23(1), pp.91-109
01/2008
DOI: 10.1002/jae.972
Abstract
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 three-factor model. The null that the intercepts are zero is tested for 5-year, 10-year and longer sub-periods. The conventional HAR test with asymptotic P-values rejects the null for most 5-year and 10-year sub-periods. By contrast, the null is not rejected by the new HAR tests. This conflict is explained by showing that inferences based on the conventional HAR test are misleading for the sample sizes used in this application.
Details
- Title: Subtitle
- The performance of heteroskedasticity and autocorrelation robust tests: a Monte Carlo study with an application to the three-factor Fama-French asset-pricing model
- Creators
- Surajit Ray - Bear Stearns Asset Management, New York, USAN. E. Savin - University of Iowa
- Resource Type
- Journal article
- Publication Details
- Journal of applied econometrics (Chichester, England), Vol.23(1), pp.91-109
- DOI
- 10.1002/jae.972
- ISSN
- 0883-7252
- eISSN
- 1099-1255
- Publisher
- John Wiley & Sons, Ltd
- Number of pages
- 19
- Language
- English
- Date published
- 01/2008
- Academic Unit
- Economics
- Record Identifier
- 9984963116002771
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