Hypothesis testing based on a vector of statistics

DOI10.1016/j.jeconom.2020.03.010zbMath1464.62512OpenAlexW3011153243MaRDI QIDQ2224888

Yanyan Li

Publication date: 4 February 2021

Published in: Journal of Econometrics (Search for Journal in Brave)

Full work available at URL: https://www.monash.edu/business/ebs/research/publications/ebs/wp30-2019.pdf

zbMATH Keywords

bootstrapMarkov chain Monte Carlo\(p\)-valueinformation matrix testcross-market predictionmultivariate kernel densitysmallest acceptance region tests

Mathematics Subject Classification ID

Applications of statistics to economics (62P20) Density estimation (62G07) Time series, auto-correlation, regression, etc. in statistics (GARCH) (62M10) Parametric hypothesis testing (62F03) Hypothesis testing in multivariate analysis (62H15)

Related Items (1)

Editorial. Special issue of the Journal of Econometrics on ``Econometric estimation and testing: essays in honour of Maxwell King

Uses Software

• KernSmooth

Cites Work

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