Bonferroni-based size-correction for nonstandard testing problems

DOI10.1016/J.JECONOM.2017.05.001zbMATH Open1388.62371OpenAlexW2145680131MaRDI QIDQ2398972FDOQ2398972

Authors: Adam McCloskey 

Publication date: 21 August 2017

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

Full work available at URL: https://economics.brown.edu/sites/g/files/dprerj726/files/papers/2012-16_paper.pdf

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zbMATH Keywords

model selectionhypothesis testingpowereconometricsuniform inferenceasymptotic sizelocal asymptoticspretestingBonferroni boundssize-correction

Mathematics Subject Classification ID

Parametric hypothesis testing (62F03) Applications of statistics to economics (62P20) Asymptotic properties of parametric tests (62F05)

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Cited In (22)

• Model averaging, asymptotic risk, and regressor groups
• Subvector inference when the true parameter vector may be near or at the boundary
• Bootstrap inference on the boundary of the parameter space, with application to conditional volatility models
• Small sample adjustment for hypotheses testing on cointegrating vectors
• Monotonic improved critical values for two \(\chi^{2}\) asymptotic criteria
• Improving the crossing-SIBTEST statistic for detecting non-uniform DIF
• Efficient shrinkage in parametric models
• UNIFORM INFERENCE IN A GENERALIZED INTERVAL ARITHMETIC CENTER AND RANGE LINEAR MODEL
• ROBUST INFERENCE IN STRUCTURAL VECTOR AUTOREGRESSIONS WITH LONG-RUN RESTRICTIONS
• Efficient calculation of test sizes for non-inferiority
• Low Frequency Cointegrating Regression with Local to Unity Regressors and Unknown Form of Serial Dependence
• Asymptotically Uniform Tests After Consistent Model Selection in the Linear Regression Model
• Generic results for establishing the asymptotic size of confidence sets and tests
• Hypothesis testing near singularities and boundaries
• Wald, QLR, and score tests when parameters are subject to linear inequality constraints
• Inference for VARs identified with sign restrictions
• Is Bonferroni Admissible for Largem?
• Testing GARCH-X type models
• Select the valid and relevant moments: an information-based Lasso for GMM with many moments
• Defect of the Size of Nonrandomized Test and Randomization Effect on Decreasing of the Necessary Sample Size in Testing the Bernoulli Success Probability
• On bootstrap inconsistency and Bonferroni-based size-correction for the subset Anderson-Rubin test under conditional homoskedasticity
• Testing overidentifying restrictions with a restricted parameter space

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