The choice between two hypothesis tests
AbstractMost standard hypothesis tests have high power only against a limited space of alternative hypotheses. With the advent of new tests for the same hypothesis, claimed to have higher power for some alternatives, but lower for other, the practitioner has to make a choice between alternative tests. This paper recommends the use of a pre-test to guide this choice, or the combined use of both tests.
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Bibliographic InfoPaper provided by Stockholm School of Economics in its series Working Paper Series in Economics and Finance with number 667.
Length: 13 pages
Date of creation: 14 Jun 2007
Date of revision:
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sign test; t test; two-dimensional criterion;
Find related papers by JEL classification:
- C12 - Mathematical and Quantitative Methods - - Econometric and Statistical Methods and Methodology: General - - - Hypothesis Testing: General
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- Péguin-Feissolle, Anne & Teräsvirta, Timo, 1999.
"A general framework for testing the Granger noncausality hypothesis,"
Working Paper Series in Economics and Finance
343, Stockholm School of Economics.
- Peguin-Feissolle, A. & Terasvirta, T., 1999. "A General Framework for Testing the Granger Noncausality Hypothesis," G.R.E.Q.A.M. 99a42, Universite Aix-Marseille III.
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