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Nonuniform bounds for nonparametric t-tests

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  • Marc Hallin
  • Jean-Marie Dufour

Abstract

This Paper Gives Non-Uniform Bounds on the Tail Areas of the Permutation Distribution of the Usual Student's T Statistic When the Observations Are Independent with Symmetric Distributions. As Opposed to Uniform Bounds, Non-Uniform Bounds Depend on the Observed Sample. It Is Shown That the Non-Uniform Bounds Proposed Are Always Tighter Than Uniform Exponential Bounds Previously Suggested. the Use of the Bounds to Perform Nonparametric T Tests Is Discussed and Numerical Examples Are Presented.

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Bibliographic Info

Paper provided by ULB -- Universite Libre de Bruxelles in its series ULB Institutional Repository with number 2013/2027.

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Date of creation: 1991
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Publication status: Published in: Econometric Theory (1991) v.7,p.253-263
Handle: RePEc:ulb:ulbeco:2013/2027

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Cited by:
  1. Dufour, Jean-Marie & Farhat, Abdeljelil & Hallin, Marc, 2006. "Distribution-free bounds for serial correlation coefficients in heteroskedastic symmetric time series," Journal of Econometrics, Elsevier, Elsevier, vol. 130(1), pages 123-142, January.
  2. Bryan Campbell & Eric Ghysels, 1997. "An Empirical Analysis of the Canadian Budget Process," Canadian Journal of Economics, Canadian Economics Association, Canadian Economics Association, vol. 30(3), pages 553-76, August.
  3. Renato G. Flores & JrAriane Szafarz, . "Testing the Information Structure of eastern European Markets: The Warsaw Stock Exchange," Ace Project Memoranda, Department of Economics, University of Leicester 96/7, Department of Economics, University of Leicester.
  4. Dufour, Jean-Marie & Taamouti, Abderrahim, 2010. "Exact optimal inference in regression models under heteroskedasticity and non-normality of unknown form," Computational Statistics & Data Analysis, Elsevier, Elsevier, vol. 54(11), pages 2532-2553, November.

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