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Simultaneous Statistical Inference in Dynamic Factor Models

Thorsten Dickhaus ()

SFB 649 Discussion Papers from Humboldt University, Collaborative Research Center 649

Abstract: Based on the theory of multiple statistical hypothesis testing, we elaborate simultaneous statistical inference methods in dynamic factor models. In particular, we employ structural properties of multivariate chi-squared distributions in order to construct critical regions for vectors of likelihood ratio statistics in such models. In this, we make use of the asymptotic distribution of the vector of test statistics for large sample sizes, assuming that the model is identified and model restrictions are testable. Examples of important multiple test problems in dynamic factor models demonstrate the relevance of the proposed methods for practical applications.

Keywords: family-wise error rate; false discovery rate; likelihood ratio statistic; multiple hypothesis testing; multivariate chi-squared distribution; time series regression; Wald statistic (search for similar items in EconPapers)
JEL-codes: C12 C32 C52 (search for similar items in EconPapers)
Pages: 21 pages
Date: 2012-05
New Economics Papers: this item is included in nep-ecm
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