Simultaneous Statistical Inference in Dynamic Factor Models
AbstractBased on the theory of multiple statistical hypothesis testing, we elaborate simultaneous statistical inference methods in dynamic factor models. In particular, we employ structural properties of multivariate chi-squared distributions in order to construct critical regions for vectors of likelihood ratio statistics in such models. In this, we make use of the asymptotic distribution of the vector of test statistics for large sample sizes, assuming that the model is identified and model restrictions are testable. Examples of important multiple test problems in dynamic factor models demonstrate the relevance of the proposed methods for practical applications.
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Bibliographic InfoPaper provided by Sonderforschungsbereich 649, Humboldt University, Berlin, Germany in its series SFB 649 Discussion Papers with number SFB649DP2012-033.
Length: 21 pages
Date of creation: May 2012
Date of revision:
family-wise error rate; false discovery rate; likelihood ratio statistic; multiple hypothesis testing; multivariate chi-squared distribution; time series regression; Wald statistic;
Find related papers by JEL classification:
- C12 - Mathematical and Quantitative Methods - - Econometric and Statistical Methods and Methodology: General - - - Hypothesis Testing: General
- C32 - Mathematical and Quantitative Methods - - Multiple or Simultaneous Equation Models; Multiple Variables - - - Time-Series Models; Dynamic Quantile Regressions; Dynamic Treatment Effect Models
- C52 - Mathematical and Quantitative Methods - - Econometric Modeling - - - Model Evaluation, Validation, and Selection
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