Further Results on Size and Power of Heteroskedasticity and Autocorrelation Robust Tests, with an Application to Trend Testing

We complement the theory developed in Preinerstorfer and P"otscher (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 P"otscher and Preinerstorfer (2018) 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.