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Simultaneous statistical inference in dynamic factor models

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  • Dickhaus, Thorsten

Abstract

Based on the theory of multiple statistical hypothesis testing, we elaborate simultaneous statistical inference methods in dynamic factor models. In particular, we employ structural properties of multivariate chi-squared distributions in order to construct critical regions for vectors of likelihood ratio statistics in such models. In this, we make use of the asymptotic distribution of the vector of test statistics for large sample sizes, assuming that the model is identified and model restrictions are testable. Examples of important multiple test problems in dynamic factor models demonstrate the relevance of the proposed methods for practical applications.

Suggested Citation

  • Dickhaus, Thorsten, 2012. "Simultaneous statistical inference in dynamic factor models," SFB 649 Discussion Papers 2012-033, Humboldt University Berlin, Collaborative Research Center 649: Economic Risk.
    • Handle: RePEc:zbw:sfb649:sfb649dp2012-033
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    References listed on IDEAS

    as
    1. 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.
    2. Alessio Farcomeni, 2009. "Generalized Augmentation to Control the False Discovery Exceedance in Multiple Testing," Scandinavian Journal of Statistics, Danish Society for Theoretical Statistics;Finnish Statistical Society;Norwegian Statistical Association;Swedish Statistical Association, vol. 36(3), pages 501-517, September.
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    JEL classification:

    • C12 - Mathematical and Quantitative Methods - - Econometric and Statistical Methods and Methodology: General - - - Hypothesis Testing: General
    • C32 - Mathematical and Quantitative Methods - - Multiple or Simultaneous Equation Models; Multiple Variables - - - Time-Series Models; Dynamic Quantile Regressions; Dynamic Treatment Effect Models; Diffusion Processes; State Space Models
    • C52 - Mathematical and Quantitative Methods - - Econometric Modeling - - - Model Evaluation, Validation, and Selection

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