Arbeitspapier
Asymptotic tests of composite hypotheses
Test statistics that are suitable for testing composite hypotheses are typically non-pivotal, and conservative bounds are commonly used to test composite hypotheses. In this paper, we propose a testing procedure for composite hypotheses that incorporates additional sample information. This avoids, as n→∞, the use of conservative bounds and leads to tests with better power than standard tests. The testing procedure satisfies a novel similarity condition that is relevant for asymptotic tests of composite hypotheses, and we show that this is a necessary condition for a test to be unbiased. The procedure is particularly useful for simultaneous testing of multiple inequalities, in particular when the number of inequalities is large. This is the situation for the multiple comparisons of forecasting models, and we show that the new testing procedure dominates the ‘reality check’ of White (2000) and avoids certain pitfalls.
- Sprache
-
Englisch
- Erschienen in
-
Series: Working Paper ; No. 2003-09
- Klassifikation
-
Wirtschaft
Hypothesis Testing: General
Multiple or Simultaneous Equation Models; Multiple Variables: General
Model Evaluation, Validation, and Selection
Forecasting Models; Simulation Methods
- Thema
-
Composite hypotheses
similarity
unbiased tests
multiple comparisons
Statistischer Test
- Ereignis
-
Geistige Schöpfung
- (wer)
-
Hansen, Peter Reinhard
- Ereignis
-
Veröffentlichung
- (wer)
-
Brown University, Department of Economics
- (wo)
-
Providence, RI
- (wann)
-
2003
- Handle
- Letzte Aktualisierung
- 10.03.2025, 11:43 MEZ
Datenpartner
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Objekttyp
- Arbeitspapier
Beteiligte
- Hansen, Peter Reinhard
- Brown University, Department of Economics
Entstanden
- 2003
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