Table 3: Sizes of the t-test
|
______Я =10______ |
______________.∖' = 20______________ | |||||
|
2S-OLS |
2S-HAC |
DOLS |
2S-OLS |
2S-HAC |
DOLS | |
|
Uncorrelated errors | ||||||
|
20 |
0.098 |
0.097 |
0.157 |
0.140 |
0.115 |
0.162 |
|
30 |
0.057 |
0.052 |
0.124 |
0.057 |
0.046 |
0.115 |
|
50 |
0.044 |
0.041 |
0.081 |
0.039 |
0.036 |
0.078 |
|
100 |
0.058 |
0.064 |
0.045 |
0.072 |
0.069 |
0.045 |
|
Contemporaneously correlated errors | ||||||
|
20 |
0.292 |
0.085 |
0.010 |
0.403 |
0.083 |
0.008 |
|
30 |
0.274 |
0.069 |
0.009 |
0.397 |
0.070 |
0.005 |
|
50 |
0.308 |
0.070 |
0.006 |
0.420 |
0.069 |
0.004 |
|
100 |
0.355 |
0.073 |
0.003 |
0.479 |
0.066 |
0.002 |
Note: Rejection frequency for tests of the null hypothesis b = 0 in model
(16). “2S-OLS” indicates rejection frequencies of a t-test where the errors
are assumed to be i.i.d., whereas “2S-HAC” indicates a t-test based on ro-
bust standard errors computed from (15). The column “DOLS” reports
rejection frequencies of the DOLS estimator assuming contemporaneously
uncorrelated errors. The nominal size is of the tests is 0.05 and 5000 repli-
cations are used to compute the rejection frequencies.
24
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