Before revision:  To avoid the  estimation of the long run variance, we construct a self-normalized t-statistic. The test statistic has an asymptotically pivotal distribution (a student t-distribution with K-1 degrees of freedom) , which makes our procedure very easy to implement .
After revision:  To avoid the estimation of the long run variance, we construct a self-normalized t-test statistic, which has an asymptotically pivotal distribution (a student t-distribution with K-1 degrees of freedom) , which makes our procedure very easy to implement .