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False Discovery Rate Control of Step-Up-Down Tests with Special Emphasis on the Asymptotically Optimal Rejection Curve

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  • HELMUT FINNER
  • VERONIKA GONTSCHARUK
  • THORSTEN DICKHAUS

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  • 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, June.
  • Handle: RePEc:bla:scjsta:v:39:y:2012:i:2:p:382-397 DOI: j.1467-9469.2012.00791.x
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    References listed on IDEAS

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    1. Hansen, Lars Peter, 1982. "Large Sample Properties of Generalized Method of Moments Estimators," Econometrica, Econometric Society, vol. 50(4), pages 1029-1054, July.
    2. Bent Jesper Christensen & Michael Sørensen, 2008. "Optimal inference in dynamic models with conditional moment restrictions," CREATES Research Papers 2008-51, Department of Economics and Business Economics, Aarhus University.
    3. Hansen, Lars Peter & Alexandre Scheinkman, Jose & Touzi, Nizar, 1998. "Spectral methods for identifying scalar diffusions," Journal of Econometrics, Elsevier, pages 1-32.
    4. Nour Meddahi, 2002. "A theoretical comparison between integrated and realized volatility," Journal of Applied Econometrics, John Wiley & Sons, Ltd., vol. 17(5), pages 479-508.
    5. Hao Zhou, 2003. "Itô Conditional Moment Generator and the Estimation of Short-Rate Processes," Journal of Financial Econometrics, Society for Financial Econometrics, vol. 1(2), pages 250-271.
    6. Bollerslev, Tim & Zhou, Hao, 2002. "Estimating stochastic volatility diffusion using conditional moments of integrated volatility," Journal of Econometrics, Elsevier, pages 33-65.
    7. Gourieroux, Christian & Jasiak, Joann, 2006. "Multivariate Jacobi process with application to smooth transitions," Journal of Econometrics, Elsevier, pages 475-505.
    8. Carrasco, Marine & Chernov, Mikhaël & Florens, Jean-Pierre & Ghysels, Eric, 2000. "Efficient Estimation of Jump Diffusions and General Dynamic Models with a Continuum of Moment Conditions," IDEI Working Papers 116, Institut d'Économie Industrielle (IDEI), Toulouse, revised 2002.
    9. John C. Cox & Jonathan E. Ingersoll Jr. & Stephen A. Ross, 2005. "A Theory Of The Term Structure Of Interest Rates," World Scientific Book Chapters,in: Theory Of Valuation, chapter 5, pages 129-164 World Scientific Publishing Co. Pte. Ltd..
    10. Arnaud Gloter, 2006. "Parameter Estimation for a Discretely Observed Integrated Diffusion Process," Scandinavian Journal of Statistics, Danish Society for Theoretical Statistics;Finnish Statistical Society;Norwegian Statistical Association;Swedish Statistical Association, pages 83-104.
    11. Singleton, Kenneth J., 2001. "Estimation of affine asset pricing models using the empirical characteristic function," Journal of Econometrics, Elsevier, pages 111-141.
    12. Susanne Ditlevsen & Michael Sørensen, 2004. "Inference for Observations of Integrated Diffusion Processes," Scandinavian Journal of Statistics, Danish Society for Theoretical Statistics;Finnish Statistical Society;Norwegian Statistical Association;Swedish Statistical Association, pages 417-429.
    13. Chacko, George & Viceira, Luis M., 2003. "Spectral GMM estimation of continuous-time processes," Journal of Econometrics, Elsevier, pages 259-292.
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    Cited by:

    1. Habiger, Joshua D. & Adekpedjou, Akim, 2014. "Optimal rejection curves for exact false discovery rate control," Statistics & Probability Letters, Elsevier, pages 21-28.
    2. Thorsten Dickhaus, 2012. "Simultaneous Statistical Inference in Dynamic Factor Models," SFB 649 Discussion Papers SFB649DP2012-033, Sonderforschungsbereich 649, Humboldt University, Berlin, Germany.

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