A common feature of the first three tests is the use of the heteroskedastic and
autocorrelation consistent (HAC) estimator of the variance (Newey and West, 1987)
for normalisation. The lag-length
is a user-chosen number.
Lobrob Test (Lobato and Robinson, 1998): lobrob
This test is nonparametric in the sense that the test is constructed using the
approximation of the spectrum. The bandwidth can be an user-chosen number but
Lobato and Robinson (1998) has suggested a plausible m for empirical applications.