Power enhancement in high-dimensional cross-sectional tests
From MaRDI portal
(Redirected from Publication:4614296)
Abstract: We propose a novel technique to boost the power of testing a high-dimensional vector against sparse alternatives where the null hypothesis is violated only by a couple of components. Existing tests based on quadratic forms such as the Wald statistic often suffer from low powers due to the accumulation of errors in estimating high-dimensional parameters. More powerful tests for sparse alternatives such as thresholding and extreme-value tests, on the other hand, require either stringent conditions or bootstrap to derive the null distribution and often suffer from size distortions due to the slow convergence. Based on a screening technique, we introduce a "power enhancement component", which is zero under the null hypothesis with high probability, but diverges quickly under sparse alternatives. The proposed test statistic combines the power enhancement component with an asymptotically pivotal statistic, and strengthens the power under sparse alternatives. The null distribution does not require stringent regularity conditions, and is completely determined by that of the pivotal statistic. As a byproduct, the power enhancement component also consistently identifies the elements that violate the null hypothesis. As specific applications, the proposed methods are applied to testing the factor pricing models and validating the cross-sectional independence in panel data models.
Recommendations
- Power in high-dimensional testing problems
- Testing Against a High Dimensional Alternative
- Testing regression coefficients in high-dimensional and sparse settings
- Independence test in high-dimension using distance correlation and power enhancement technique
- Sign-based test for mean vector in high-dimensional and sparse settings
Cited in
(92)- Nonparametric fixed effects model for panel data with locally stationary regressors
- A practical test for strict exogeneity in linear panel data models with fixed effects
- Asymptotically honest confidence regions for high dimensional parameters by the desparsified conservative Lasso
- Ex-post risk premia estimation and asset pricing tests using large cross sections: the regression-calibration approach
- Projection tests for high-dimensional spiked covariance matrices
- Specification tests based on MCMC output
- Change-point detection in multinomial data with a large number of categories
- Projection-based high-dimensional sign test
- Max-sum tests for cross-sectional independence of high-dimensional panel data
- Sequential change point detection in high dimensional time series
- On Sobolev tests of uniformity on the circle with an extension to the sphere
- Robust inference via multiplier bootstrap
- Comparing a large number of multivariate distributions
- Two-sample tests for high-dimensional covariance matrices using both difference and ratio
- Bootstrapping factor models with cross sectional dependence
- On rank estimators in increasing dimensions
- Inference in partially identified models with many moment inequalities using Lasso
- Asymptotically independent U-statistics in high-dimensional testing
- Augmented factor models with applications to validating market risk factors and forecasting bond risk premia
- Testing for the sandwich-form covariance matrix of the quasi-maximum likelihood estimator
- High-dimensional test for alpha in linear factor pricing models with sparse alternatives
- Large dimensional latent factor modeling with missing observations and applications to causal inference
- Most powerful test against a sequence of high dimensional local alternatives
- Testing Against a High Dimensional Alternative
- ESTIMATION OF THE KRONECKER COVARIANCE MODEL BY QUADRATIC FORM
- Hypothesis Testing for Block-structured Correlation for High Dimensional Variables
- Independence test in high-dimension using distance correlation and power enhancement technique
- A setwise EWMA scheme for monitoring high-dimensional datastreams
- Multiple change-points detection in high dimension
- Power in high-dimensional testing problems
- The abstract of doctoral dissertation ‘Some research on hypothesis testing and nonparametric variable screening problems for high dimensional data’
- Learning Latent Factors From Diversified Projections and Its Applications to Over-Estimated and Weak Factors
- Robust high-dimensional alpha test for conditional time-varying factor models
- High-Dimensional Alpha Test of the Linear Factor Pricing Models With Heavy-Tailed Distributions
- Adaptive Tests for Bandedness of High-dimensional Covariance Matrices
- Testing the Effects of High-Dimensional Covariates via Aggregating Cumulative Covariances
- Consistency of \(p\)-norm based tests in high dimensions: characterization, monotonicity, domination
- News-implied linkages and local dependency in the equity market
- Testing and signal identification for two-sample high-dimensional covariances via multi-level thresholding
- Joint inference based on Stein-type averaging estimators in the linear regression model
- Linear Hypothesis Testing in Linear Models With High-Dimensional Responses
- Power-Enhanced Simultaneous Test of High-Dimensional Mean Vectors and Covariance Matrices with Application to Gene-Set Testing
- HOW TO AVOID THE ZERO-POWER TRAP IN TESTING FOR CORRELATION
- Power enhancement for testing multi-factor asset pricing models via Fisher's method
- Fisher’s Combined Probability Test for High-Dimensional Covariance Matrices
- Bootstrap analysis of mutual fund performance
- Robust high-dimensional tuning free multiple testing
- Rank-based max-sum tests for mutual independence of high-dimensional random vectors
- High-dimensional non-parametric tests for linear asset pricing models
- Thresholding mean test for functional data with power enhancement
- Score-based test in high-dimensional quantile regression for longitudinal data with application to a glomerular filtration rate data
- On the test of covariance between two high-dimensional random vectors
- Test for Market Timing Using Daily Fund Returns
- Asymptotic independence of the sum and maximum of dependent random variables with applications to high-dimensional tests
- Adaptive rank-based tests for high dimensional mean problems
- Cross projection test for mean vectors via multiple random splits in high dimensions
- An Inverse Norm Sign Test of Location Parameter for High-Dimensional Data
- The Incidental Parameters Problem in Testing for Remaining Cross-Section Correlation
- Power enhancement for dimension detection of Gaussian signals
- Detection and estimation of structural breaks in high-dimensional functional time series
- Dynamic Peer Groups of Arbitrage Characteristics
- Adaptive Testing for Alphas in High-Dimensional Factor Pricing Models
- Testing Alphas in Conditional Time-Varying Factor Models With High-Dimensional Assets
- Asymptotic independence of the quadratic form and maximum of independent random variables with applications to high-dimensional tests
- Testing for sparse idiosyncratic components in factor-augmented regression models
- Validating approximate slope homogeneity in large panels
- An adaptive test based on Kendall's tau for independence in high dimensions
- Mean tests for high-dimensional time series
- Power boosting: fusion of multiple test statistics via resampling
- ATM: an aggregation test of moments approach for assessing high-dimensional normality
- High dimensional regression coefficient test with high frequency data
- A rank-based adaptive independence test for high-dimensional data
- A Novel Approach of High Dimensional Linear Hypothesis Testing Problem
- Specification tests for time-varying coefficient panel data models
- A novel approach to predictive accuracy testing in nested environments
- Robust mutual fund selection with false discovery rate control
- A general association test for high-dimensional random vectors
- Power-enhanced two-sample mean tests for high-dimensional microbiome compositional data
- A unified combination framework for dependent tests with applications to microbiome association studies
- Unified and robust tests for cross sectional independence in large panel data models
- Choosing the right norm for change point detection in functional data
- Maximum conditional alpha test for conditional multi-factor models
- An adaptive test of the independence of high-dimensional data based on Kendall rank correlation coefficient
- A Heteroscedasticity-Robust Overidentifying Restriction Test with High-Dimensional Covariates
- Double verification for two-sample covariance matrices test
- Interval quantile correlations with applications to testing high-dimensional quantile effects
- Test and Measure for Partial Mean Dependence Based on Machine Learning Methods
- Cross projection test for high-dimension mean vectors
- Tests for high-dimensional partially linear regression models
- Adaptive Testing for Alphas in Conditional Factor Models with High Dimensional Assets
- Consistent complete independence test in high dimensions based on Chatterjee correlation coefficient
- High-dimensional conditional factor model
This page was built for publication: Power enhancement in high-dimensional cross-sectional tests
Report a bug (only for logged in users!)Click here to report a bug for this page (MaRDI item Q4614296)
