Stepwise multiple testing as formalized data snooping

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• dc.contributor.author Romano, Joseph P.ca
• dc.contributor.author Wolf, Michaelca
• dc.contributor.other Universitat Pompeu Fabra. Departament d'Economia i Empresa
• dc.date.accessioned 2017-07-26T12:07:58Z
• dc.date.available 2017-07-26T12:07:58Z
• dc.date.issued 2003-10-01
• dc.date.modified 2017-07-23T02:08:03Z
• dc.description.abstract It is common in econometric applications that several hypothesis tests are carried out at the same time. The problem then becomes how to decide which hypotheses to reject, accounting for the multitude of tests. In this paper, we suggest a stepwise multiple testing procedure which asymptotically controls the familywise error rate at a desired level. Compared to related single-step methods, our procedure is more powerful in the sense that it often will reject more false hypotheses. In addition, we advocate the use of studentization when it is feasible. Unlike some stepwise methods, our method implicitly captures the joint dependence structure of the test statistics, which results in increased ability to detect alternative hypotheses. We prove our method asymptotically controls the familywise error rate under minimal assumptions. We present our methodology in the context of comparing several strategies to a common benchmark and deciding which strategies actually beat the benchmark. However, our ideas can easily be extended and/or modied to other contexts, such as making inference for the individual regression coecients in a multiple regression framework. Some simulation studies show the improvements of our methods over previous proposals. We also provide an application to a set of real data.
• dc.format.mimetype application/pdfca
• dc.identifier https://econ-papers.upf.edu/ca/paper.php?id=712
• dc.identifier.citation Econometrica 73, 1237-1282, 2005
• dc.identifier.uri http://hdl.handle.net/10230/1216
• dc.language.iso eng
• dc.relation.ispartofseries Economics and Business Working Papers Series; 712
• 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 bootstrap
• dc.subject.keyword data snooping
• dc.subject.keyword familywise error
• dc.subject.keyword multiple testing
• dc.subject.keyword step-down method
• dc.subject.keyword Statistics, Econometrics and Quantitative Methods
• dc.title Stepwise multiple testing as formalized data snoopingca
• dc.type info:eu-repo/semantics/workingPaper