The performance of heteroskedasticity and autocorrelation robust tests: a Monte Carlo study with an application to the three‐factor Fama–French asset‐pricing model
异方差与自相关稳健检验的表现：蒙特卡洛研究及 Fama–French 三因子模型应用
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…