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Finite-sample resampling-based combined hypothesis tests, with applications to serial correlation and predictability

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  • Jean-Marie Dufour
  • Lynda Khalaf
  • Marcel Voia

Abstract

This paper suggests Monte Carlo multiple test procedures which are provably valid in finite samples. These include combination methods originally proposed for independent statistics and further improvements which formalize statistical practice. We also adapt the Monte Carlo test method to non-continuous combined statistics. The methods suggested are applied to test serial dependence and predictability. In particular, we introduce and analyze new procedures that account for endogenous lag selection. A simulation study illustrates the properties of the proposed methods. Results show that concrete and non-spurious power gains (over standard combination methods) can be achieved through the combined Monte Carlo test approach, and confirm arguments in favour of variance-ratio type criteria.

Suggested Citation

  • Jean-Marie Dufour & Lynda Khalaf & Marcel Voia, 2013. "Finite-sample resampling-based combined hypothesis tests, with applications to serial correlation and predictability," CIRANO Working Papers 2013s-40, CIRANO.
    • Handle: RePEc:cir:cirwor:2013s-40
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    Cited by:

    1. Jean-Marie Dufour & Richard Luger, 2017. "Identification-robust moment-based tests for Markov switching in autoregressive models," Econometric Reviews, Taylor & Francis Journals, vol. 36(6-9), pages 713-727, October.
    2. Bergamelli, Michele & Bianchi, Annamaria & Khalaf, Lynda & Urga, Giovanni, 2019. "Combining p-values to test for multiple structural breaks in cointegrated regressions," Journal of Econometrics, Elsevier, vol. 211(2), pages 461-482.
    3. Gungor, Sermin & Luger, Richard, 2015. "Bootstrap Tests Of Mean-Variance Efficiency With Multiple Portfolio Groupings," L'Actualité Economique, Société Canadienne de Science Economique, vol. 91(1-2), pages 35-65, Mars-Juin.
    4. Lan Cheng & Xuguang Simon Sheng, 2017. "Combination of “combinations of p values”," Empirical Economics, Springer, vol. 53(1), pages 329-350, August.

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    Keywords

    Monte Carlo test; induced test; test combination; simultaneous inference; Variance ratio;
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