Hypothesis testing based on a vector of statistics
Journal article
King, Maxwell L., Zhang, Xibin and Akram, Muhammad. (2020). Hypothesis testing based on a vector of statistics. Journal of Econometrics. 219(2), pp. 425-455. https://doi.org/10.1016/j.jeconom.2020.03.010
Authors | King, Maxwell L., Zhang, Xibin and Akram, Muhammad |
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Abstract | This paper presents a new approach to hypothesis testing based on a vector of statistics. It involves simulating the statistics under the null hypothesis and then estimating the joint density of the statistics. This allows the -value of the smallest acceptance region test to be estimated. We prove this -value is a consistent estimate under some regularity conditions. The small-sample properties of the proposed procedure are investigated in the context of testing for autocorrelation, testing for normality, and testing for model misspecification through the information matrix. We find that our testing procedure has appropriate sizes and good powers. |
Keywords | bootstrap; cross-market prediction; Markov chain Monte Carlo; multivariate kernel density; p-value; smallest acceptance region tests |
Year | 2020 |
Journal | Journal of Econometrics |
Journal citation | 219 (2), pp. 425-455 |
Publisher | Elsevier B.V. |
ISSN | 0304-4076 |
Digital Object Identifier (DOI) | https://doi.org/10.1016/j.jeconom.2020.03.010 |
Scopus EID | 2-s2.0-85082676489 |
Research or scholarly | Research |
Page range | 425-455 |
Funder | Australian Research Council (ARC) |
Publisher's version | License All rights reserved File Access Level Controlled |
Output status | Published |
Publication dates | |
Online | 30 Mar 2020 |
Publication process dates | |
Deposited | 28 May 2021 |
ARC Funded Research | This output has been funded, wholly or partially, under the Australian Research Council Act 2001 |
https://acuresearchbank.acu.edu.au/item/8w1y5/hypothesis-testing-based-on-a-vector-of-statistics
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