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.
