Title: Further Results on Size and Power of Heteroskedasticity and Autocorrelation Robust Tests, with an Application to Trend Testing,
Abstract: We complement the theory developed in Preinerstorfer and Pötscher (2016)
with further finite sample results on size and power of heteroskedasticity and
autocorrelation robust tests. These allows us, in particular, to show that the
sufficient conditions for the existence of size-controlling critical values
recently obtained in Pötscher and Preinerstorfer (2016) are often also
necessary. We furthermore apply the results obtained to tests for hypotheses on
deterministic trends in stationary time series regressions, and find that many
tests currently used are strongly size-distorted.