Advanced Search
MyIDEAS: Login to save this paper or follow this series

Hypothesis testing in econometrics

Contents:

Author Info

  • Joseph P. Romano
  • Azeem M. Shaikh
  • Michael Wolf

Abstract

This paper reviews important concepts and methods that are useful for hypothesis testing. First, we discuss the Neyman-Pearson framework. Various approaches to optimality are presented, including finite-sample and large-sample optimality. Then, some of the most important methods are summarized, as well as resampling methodology which is useful to set critical values. Finally, we consider the problem of multiple testing, which has witnessed a burgeoning literature in recent years. Along the way, we incorporate some examples that are current in the econometrics literature. While we include many problems with wellknown successful solutions, we also include open problems that are not easily handled with current technology, stemming from issues like lack of optimality or poor asymptotic approximations.

Download Info

If you experience problems downloading a file, check if you have the proper application to view it first. In case of further problems read the IDEAS help page. Note that these files are not on the IDEAS site. Please be patient as the files may be large.
File URL: http://www.iew.uzh.ch/wp/iewwp444.pdf
Download Restriction: no

Bibliographic Info

Paper provided by Institute for Empirical Research in Economics - University of Zurich in its series IEW - Working Papers with number 444.

as in new window
Length:
Date of creation: Sep 2009
Date of revision:
Handle: RePEc:zur:iewwpx:444

Contact details of provider:
Postal: Blümlisalpstrasse 10, CH-8006 Zürich
Phone: +41-1-634 22 05
Fax: +41-1-634 49 07
Email:
Web page: http://www.econ.uzh.ch/
More information through EDIRC

Related research

Keywords: Asymptotics; multiple testing; optimality; resampling;

Other versions of this item:

Find related papers by JEL classification:

This paper has been announced in the following NEP Reports:

References

References listed on IDEAS
Please report citation or reference errors to , or , if you are the registered author of the cited work, log in to your RePEc Author Service profile, click on "citations" and make appropriate adjustments.:
as in new window
  1. Russell Davidson & Jean-Yves Duclos, 2006. "Testing for Restricted Stochastic Dominance," Working Papers 36, ECINEQ, Society for the Study of Economic Inequality.
  2. Victor Chernozhukov & Han Hong & Elie Tamer, 2007. "Estimation and Confidence Regions for Parameter Sets in Econometric Models," Econometrica, Econometric Society, Econometric Society, vol. 75(5), pages 1243-1284, 09.
  3. Joseph Romano & Azeem Shaikh & Michael Wolf, 2008. "Control of the false discovery rate under dependence using the bootstrap and subsampling," TEST: An Official Journal of the Spanish Society of Statistics and Operations Research, Springer, Springer, vol. 17(3), pages 417-442, November.
  4. Donald W. K. Andrews & Marcelo J. Moreira & James H. Stock, 2006. "Optimal Two-Sided Invariant Similar Tests for Instrumental Variables Regression," Econometrica, Econometric Society, Econometric Society, vol. 74(3), pages 715-752, 05.
  5. van der Laan Mark J. & Birkner Merrill D. & Hubbard Alan E., 2005. "Empirical Bayes and Resampling Based Multiple Testing Procedure Controlling Tail Probability of the Proportion of False Positives," Statistical Applications in Genetics and Molecular Biology, De Gruyter, De Gruyter, vol. 4(1), pages 1-32, October.
  6. van der Laan Mark J. & Dudoit Sandrine & Pollard Katherine S., 2004. "Augmentation Procedures for Control of the Generalized Family-Wise Error Rate and Tail Probabilities for the Proportion of False Positives," Statistical Applications in Genetics and Molecular Biology, De Gruyter, De Gruyter, vol. 3(1), pages 1-27, June.
  7. Marcelo J. Moreira, 2003. "A Conditional Likelihood Ratio Test for Structural Models," Econometrica, Econometric Society, Econometric Society, vol. 71(4), pages 1027-1048, 07.
  8. Yoav Benjamini & Abba M. Krieger & Daniel Yekutieli, 2006. "Adaptive linear step-up procedures that control the false discovery rate," Biometrika, Biometrika Trust, Biometrika Trust, vol. 93(3), pages 491-507, September.
  9. Newey, Whitney K & West, Kenneth D, 1987. "A Simple, Positive Semi-definite, Heteroskedasticity and Autocorrelation Consistent Covariance Matrix," Econometrica, Econometric Society, Econometric Society, vol. 55(3), pages 703-08, May.
  10. Hansen, Peter Reinhard, 2005. "A Test for Superior Predictive Ability," Journal of Business & Economic Statistics, American Statistical Association, American Statistical Association, vol. 23, pages 365-380, October.
  11. John D. Storey & Jonathan E. Taylor & David Siegmund, 2004. "Strong control, conservative point estimation and simultaneous conservative consistency of false discovery rates: a unified approach," Journal of the Royal Statistical Society Series B, Royal Statistical Society, vol. 66(1), pages 187-205.
  12. Andrews, Donald W. K., 1998. "Hypothesis testing with a restricted parameter space," Journal of Econometrics, Elsevier, Elsevier, vol. 84(1), pages 155-199, May.
  13. Joseph P. Romano & Michael Wolf, 2005. "Exact and Approximate Stepdown Methods for Multiple Hypothesis Testing," Journal of the American Statistical Association, American Statistical Association, American Statistical Association, vol. 100, pages 94-108, March.
  14. Donald W.K. Andrews & Patrik Guggenberger, 2007. "Validity of Subsampling and "Plug-in Asymptotic" Inference for Parameters Defined by Moment Inequalities," Cowles Foundation Discussion Papers, Cowles Foundation for Research in Economics, Yale University 1620, Cowles Foundation for Research in Economics, Yale University.
  15. Donald W. K. Andrews, 2000. "Inconsistency of the Bootstrap when a Parameter Is on the Boundary of the Parameter Space," Econometrica, Econometric Society, Econometric Society, vol. 68(2), pages 399-406, March.
  16. Hansen, Lars Peter, 1982. "Large Sample Properties of Generalized Method of Moments Estimators," Econometrica, Econometric Society, Econometric Society, vol. 50(4), pages 1029-54, July.
  17. Hall, Peter & Horowitz, Joel L, 1996. "Bootstrap Critical Values for Tests Based on Generalized-Method-of-Moments Estimators," Econometrica, Econometric Society, Econometric Society, vol. 64(4), pages 891-916, July.
  18. Halbert White, 2000. "A Reality Check for Data Snooping," Econometrica, Econometric Society, Econometric Society, vol. 68(5), pages 1097-1126, September.
  19. Jean-Marie Dufour, 1997. "Some Impossibility Theorems in Econometrics with Applications to Structural and Dynamic Models," Econometrica, Econometric Society, Econometric Society, vol. 65(6), pages 1365-1388, November.
  20. Anna Mikusheva, 2007. "Uniform Inference in Autoregressive Models," Econometrica, Econometric Society, Econometric Society, vol. 75(5), pages 1411-1452, 09.
  21. James G. MacKinnon, 2007. "Bootstrap Hypothesis Testing," Working Papers, Queen's University, Department of Economics 1127, Queen's University, Department of Economics.
  22. Chamberlain, Gary, 1987. "Asymptotic efficiency in estimation with conditional moment restrictions," Journal of Econometrics, Elsevier, Elsevier, vol. 34(3), pages 305-334, March.
  23. Michael Jansson, 2008. "Semiparametric Power Envelopes for Tests of the Unit Root Hypothesis," Econometrica, Econometric Society, Econometric Society, vol. 76(5), pages 1103-1142, 09.
  24. Romano, Joseph P. & Shaikh, Azeem M. & Wolf, Michael, 2008. "Formalized Data Snooping Based On Generalized Error Rates," Econometric Theory, Cambridge University Press, Cambridge University Press, vol. 24(02), pages 404-447, April.
  25. Horowitz, Joel L., 2001. "The Bootstrap," Handbook of Econometrics, Elsevier, in: J.J. Heckman & E.E. Leamer (ed.), Handbook of Econometrics, edition 1, volume 5, chapter 52, pages 3159-3228 Elsevier.
  26. Graham Elliott & Thomas J. Rothenberg & James H. Stock, 1992. "Efficient Tests for an Autoregressive Unit Root," NBER Technical Working Papers 0130, National Bureau of Economic Research, Inc.
  27. Joseph P. Romano & Azeem M. Shaikh & Michael Wolf, 2010. "multiple testing," The New Palgrave Dictionary of Economics, Palgrave Macmillan, Palgrave Macmillan.
  28. repec:cup:cbooks:9780521496032 is not listed on IDEAS
  29. Joseph P. Romano & Azeem M. Shaikh, 2010. "Inference for the Identified Set in Partially Identified Econometric Models," Econometrica, Econometric Society, Econometric Society, vol. 78(1), pages 169-211, 01.
Full references (including those not matched with items on IDEAS)

Citations

Citations are extracted by the CitEc Project, subscribe to its RSS feed for this item.
as in new window

Cited by:
  1. Orla Doyle & Colm Harmon & James J. Heckman & Caitriona Logue & Seong Moon, 2013. "Measuring Investment in Human Capital Formation: An Experimental Analysis of Early Life Outcomes," NBER Working Papers 19316, National Bureau of Economic Research, Inc.
  2. Joachim Freyberger & Joel Horowitz, 2013. "Identification and shape restrictions in nonparametric instrumental variables estimation," CeMMAP working papers, Centre for Microdata Methods and Practice, Institute for Fiscal Studies CWP31/13, Centre for Microdata Methods and Practice, Institute for Fiscal Studies.
  3. Shen, Yanfeng & Lin, Zhengyan & Zhu, Jun, 2011. "Shrinkage-based regularization tests for high-dimensional data with application to gene set analysis," Computational Statistics & Data Analysis, Elsevier, Elsevier, vol. 55(7), pages 2221-2233, July.
  4. Joachim Freyberger & Joel Horowitz, 2012. "Identification and shape restrictions in nonparametric instrumental variables estimation," CeMMAP working papers, Centre for Microdata Methods and Practice, Institute for Fiscal Studies CWP15/12, Centre for Microdata Methods and Practice, Institute for Fiscal Studies.
  5. Meta Brown & Wilbert van der Klaauw & Jaya Wen & Basit Zafar, 2013. "Financial education and the debt behavior of the young," Staff Reports, Federal Reserve Bank of New York 634, Federal Reserve Bank of New York.

Lists

This item is not listed on Wikipedia, on a reading list or among the top items on IDEAS.

Statistics

Access and download statistics

Corrections

When requesting a correction, please mention this item's handle: RePEc:zur:iewwpx:444. See general information about how to correct material in RePEc.

For technical questions regarding this item, or to correct its authors, title, abstract, bibliographic or download information, contact: (Marita Kieser).

If you have authored this item and are not yet registered with RePEc, we encourage you to do it here. This allows to link your profile to this item. It also allows you to accept potential citations to this item that we are uncertain about.

If references are entirely missing, you can add them using this form.

If the full references list an item that is present in RePEc, but the system did not link to it, you can help with this form.

If you know of missing items citing this one, you can help us creating those links by adding the relevant references in the same way as above, for each refering item. If you are a registered author of this item, you may also want to check the "citations" tab in your profile, as there may be some citations waiting for confirmation.

Please note that corrections may take a couple of weeks to filter through the various RePEc services.