The choice between two hypothesis tests
Most standard hypothesis tests have high power only against a limited space of alternative hypotheses. With the advent of new tests for the same hypothesis, claimed to have higher power for some alternatives, but lower for other, the practitioner has to make a choice between alternative tests. This paper recommends the use of a pre-test to guide this choice, or the combined use of both tests.
|Date of creation:||14 Jun 2007|
|Date of revision:|
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- Péguin-Feissolle, Anne & Teräsvirta, Timo, 1999.
"A general framework for testing the Granger noncausality hypothesis,"
SSE/EFI Working Paper Series in Economics and Finance
343, Stockholm School of Economics.
- Peguin-Feissolle, A. & Terasvirta, T., 1999. "A General Framework for Testing the Granger Noncausality Hypothesis," G.R.E.Q.A.M. 99a42, Universite Aix-Marseille III.
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