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Some generalizations of the T-method in simultaneous inference

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  • Hochberg, Yosef

Abstract

Two extensions of the T-method for multiple comparisons on a set of parameters are discussed, which are easily applied to cases where the allied random variables do not satisfy the usual conditions imposed by the T-method. The two generalized T-procedures are compared with the S and the Bonferroni methods and illustrated by various examples.

Suggested Citation

  • Hochberg, Yosef, 1974. "Some generalizations of the T-method in simultaneous inference," Journal of Multivariate Analysis, Elsevier, vol. 4(2), pages 224-234, June.
    • Handle: RePEc:eee:jmvana:v:4:y:1974:i:2:p:224-234
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    Cited by:

    1. Sibanjan Mishra, 2019. "Testing Martingale Hypothesis Using Variance Ratio Tests: Evidence from High-frequency Data of NCDEX Soya Bean Futures," Global Business Review, International Management Institute, vol. 20(6), pages 1407-1422, December.
    2. Shyh-wei Chen, 2009. "Random walks in asian foreign exchange markets:evidence from new multiple variance ratio tests," Economics Bulletin, AccessEcon, vol. 29(2), pages 1296-1307.
    3. Bishop, John A & Chakraborti, S & Thistle, Paul D, 1994. "Relative Inequality, Absolute Inequality, and Welfare: Large Sample Tests for Partial Orders," Bulletin of Economic Research, Wiley Blackwell, vol. 46(1), pages 41-59, January.
    4. Amélie Charles & Olivier Darné, 2009. "Variance‐Ratio Tests Of Random Walk: An Overview," Journal of Economic Surveys, Wiley Blackwell, vol. 23(3), pages 503-527, July.
    5. Ahmad Yamin S & Paya Ivan, 2020. "Temporal aggregation of random walk processes and implications for economic analysis," Studies in Nonlinear Dynamics & Econometrics, De Gruyter, vol. 24(2), pages 1-20, April.
    6. Lean, Hooi-Hooi & Wong, Wing-Keung & Zhang, Xibin, 2008. "The sizes and powers of some stochastic dominance tests: A Monte Carlo study for correlated and heteroskedastic distributions," Mathematics and Computers in Simulation (MATCOM), Elsevier, vol. 79(1), pages 30-48.
    7. Belaire-Franch Jorge & Contreras Dulce, 2010. "Testing the Martingale Property of Exchange Rates: A Replication," Studies in Nonlinear Dynamics & Econometrics, De Gruyter, vol. 15(1), pages 1-19, December.
    8. Verheyden, Tim & De Moor, Lieven & Van den Bossche, Filip, 2015. "Towards a new framework on efficient markets," Research in International Business and Finance, Elsevier, vol. 34(C), pages 294-308.
    9. Eduardo José Araújo Lima & Benjamin Miranda Tabak, 2008. "Exchange Rate Dynamics and the Relationship between the Random Walk Hypothesis and Official Interventions," Working Papers Series 173, Central Bank of Brazil, Research Department.
    10. Christina C. Bartenschlager & Michael Krapp, 2015. "Theorie und Methoden multipler statistischer Vergleiche," AStA Wirtschafts- und Sozialstatistisches Archiv, Springer;Deutsche Statistische Gesellschaft - German Statistical Society, vol. 9(2), pages 107-129, November.
    11. Bayless, Mark & Jay, Nancy R., 2001. "An examination of the performance of SEOs using a comparison period approach6," Journal of Economics and Business, Elsevier, vol. 53(4), pages 359-386.
    12. Yilmaz, Kamil, 2003. "Martingale Property of Exchange Rates and Central Bank Interventions," Journal of Business & Economic Statistics, American Statistical Association, vol. 21(3), pages 383-395, July.
    13. Graham Smith & Hyun-Jung Ryoo, 2003. "Variance ratio tests of the random walk hypothesis for European emerging stock markets," The European Journal of Finance, Taylor & Francis Journals, vol. 9(3), pages 290-300.
    14. Claudeci Da Silva & Hugo Agudelo Murillo & Joaquim Miguel Couto, 2014. "Early Warning Systems: Análise De Ummodelo Probit De Contágio De Crise Dos Estados Unidos Para O Brasil(2000-2010)," Anais do XL Encontro Nacional de Economia [Proceedings of the 40th Brazilian Economics Meeting] 110, ANPEC - Associação Nacional dos Centros de Pós-Graduação em Economia [Brazilian Association of Graduate Programs in Economics].

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