Finite-Sample Resampling-Based Combined Hypothesis Tests, with Applications to Serial Correlation and Predictability
Jean-Marie Dufour (),
Lynda Khalaf () and
Cahiers de recherche from Centre interuniversitaire de recherche en économie quantitative, CIREQ
This paper suggests Monte Carlo multiple test procedures which are provably valid in finite samples. These include combination methods originally proposed for independent statistics and further improvements which formalize statistical practice. We also adapt the Monte Carlo test method to non-continuous combined statistics. The methods suggested are applied to test serial dependence and predictability. In particular, we introduce and analyze new procedures that account for endogenous lag selection. A simulation study illustrates the properties of the proposed methods. Results show that concrete and non-spurious power gains (over standard combination methods) can be achieved through the combined Monte Carlo test approach, and confirm arguments in favour of variance-ratio type criteria.
Keywords: Monte Carlo test; induced test; test combination; simultaneous inference; Variance ratio (search for similar items in EconPapers)
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Working Paper: Finite-sample resampling-based combined hypothesis tests, with applications to serial correlation and predictability (2013)
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Persistent link: https://EconPapers.repec.org/RePEc:mtl:montec:13-2013
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