Bringing game theory to hypothesis testing: Establishing finite sample bounds on inference
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- dc.contributor.author Schlag, Karlca
- dc.contributor.other Universitat Pompeu Fabra. Departament d'Economia i Empresa
- dc.date.accessioned 2017-07-26T12:08:00Z
- dc.date.available 2017-07-26T12:08:00Z
- dc.date.issued 2008-06-01
- dc.date.modified 2017-07-23T02:11:57Z
- dc.description.abstract Small sample properties are of fundamental interest when only limited data is avail- able. Exact inference is limited by constraints imposed by speci.c nonrandomized tests and of course also by lack of more data. These e¤ects can be separated as we propose to evaluate a test by comparing its type II error to the minimal type II error among all tests for the given sample. Game theory is used to establish this minimal type II error, the associated randomized test is characterized as part of a Nash equilibrium of a .ctitious game against nature. We use this method to investigate sequential tests for the di¤erence between two means when outcomes are constrained to belong to a given bounded set. Tests of inequality and of noninferiority are included. We .nd that inference in terms of type II error based on a balanced sample cannot be improved by sequential sampling or even by observing counter factual evidence providing there is a reasonable gap between the hypotheses.
- dc.format.mimetype application/pdfca
- dc.identifier https://econ-papers.upf.edu/ca/paper.php?id=1099
- dc.identifier.uri http://hdl.handle.net/10230/1232
- dc.language.iso eng
- dc.relation.ispartofseries Economics and Business Working Papers Series; 1099
- dc.rights L'accés als continguts d'aquest document queda condicionat a l'acceptació de les condicions d'ús establertes per la següent llicència Creative Commons
- dc.rights.accessRights info:eu-repo/semantics/openAccess
- dc.rights.uri http://creativecommons.org/licenses/by-nc-nd/3.0/es/
- dc.subject.keyword exact
- dc.subject.keyword distribution-free
- dc.subject.keyword nonparametric
- dc.subject.keyword independent samples
- dc.subject.keyword matched pairs
- dc.subject.keyword z test
- dc.subject.keyword unavoidable type ii error
- dc.subject.keyword noninferiority
- dc.subject.keyword leex
- dc.subject.keyword Microeconomics
- dc.title Bringing game theory to hypothesis testing: Establishing finite sample bounds on inferenceca
- dc.type info:eu-repo/semantics/workingPaper