Multiple Testing for Distributional Differences with Non-iid Data

David Kaplan and Xin Liu

No 2510, Working Papers from Department of Economics, University of Missouri

Abstract: We propose inference methods to compare two continuous distributions across their support, with two main innovations. First, unlike previous such multiple testing procedures, ours apply much more broadly by allowing non-iid sampling, whenever a Donsker's theorem holds. We also establish our procedures' coherence and consonance. Second, we invert these procedures into confidence sets for the set of points where certain (in)equalities hold. For one-sided inference, these points have an economic interpretation in terms of restricted first-order stochastic dominance. All our methods provide much richer results than existing global tests that report only a single "reject" or "not reject" decision.

Keywords: coherence; confidence set; consonance; Donsker's theorem; Kolmogorov-Smirnov; stochastic dominance (search for similar items in EconPapers)
JEL-codes: C12 C14 (search for similar items in EconPapers)
Date: 2025-09
New Economics Papers: this item is included in nep-ecm
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