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Simultaneous Statistical Inference in Dynamic Factor Models

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  • Thorsten Dickhaus

Abstract

Based 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 Info

Paper provided by Sonderforschungsbereich 649, Humboldt University, Berlin, Germany in its series SFB 649 Discussion Papers with number SFB649DP2012-033.

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Length: 21 pages
Date of creation: May 2012
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Handle: RePEc:hum:wpaper:sfb649dp2012-033

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Keywords: family-wise error rate; false discovery rate; likelihood ratio statistic; multiple hypothesis testing; multivariate chi-squared distribution; time series regression; Wald statistic;

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  1. Forni, Mario & Giannone, Domenico & Lippi, Marco & Reichlin, Lucrezia, 2007. "Opening the black box: structural factor models with large cross-sections," Working Paper Series, European Central Bank 0712, European Central Bank.
  2. Mario Forni & Marc Hallin & Marco Lippi & Lucrezia Reichlin, 2000. "The Generalized Dynamic-Factor Model: Identification And Estimation," The Review of Economics and Statistics, MIT Press, vol. 82(4), pages 540-554, November.
  3. Alessio Farcomeni, 2009. "Generalized Augmentation to Control the False Discovery Exceedance in Multiple Testing," Scandinavian Journal of Statistics, Danish Society for Theoretical Statistics;Finnish Statistical Society;Norwegian Statistical Association;Swedish Statistical Association, vol. 36(3), pages 501-517.
  4. Park, Byeong U. & Mammen, Enno & Härdle, Wolfgang & Borak, Szymon, 2009. "Time Series Modelling With Semiparametric Factor Dynamics," Journal of the American Statistical Association, American Statistical Association, American Statistical Association, vol. 104(485), pages 284-298.
  5. Helmut Finner & Veronika Gontscharuk & Thorsten Dickhaus, 2012. "False Discovery Rate Control of Step-Up-Down Tests with Special Emphasis on the Asymptotically Optimal Rejection Curve," Scandinavian Journal of Statistics, Danish Society for Theoretical Statistics;Finnish Statistical Society;Norwegian Statistical Association;Swedish Statistical Association, vol. 39(2), pages 382-397, 06.
  6. Breitung, Jörg & Eickmeier, Sandra, 2005. "Dynamic factor models," Discussion Paper Series 1: Economic Studies 2005,38, Deutsche Bundesbank, Research Centre.
  7. Karlin, Samuel & Rinott, Yosef, 1980. "Classes of orderings of measures and related correlation inequalities. I. Multivariate totally positive distributions," Journal of Multivariate Analysis, Elsevier, Elsevier, vol. 10(4), pages 467-498, December.
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