Finite-Sample Resampling-Based Combined Hypothesis Tests, with Applications to Serial Correlation and Predictability
نویسندگان
چکیده
منابع مشابه
Finite-sample Resampling-based Combined Hypothesis Tests, with Applications to Serial Correlation and Predictability
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 predict...
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ژورنال
عنوان ژورنال: SSRN Electronic Journal
سال: 2013
ISSN: 1556-5068
DOI: 10.2139/ssrn.2369446