Hypothesis Testing in Econometrics

This paper reviews important concepts and methods that are useful for hypothesis testing.First, we discuss the Neyman-Pearson framework. Various approaches to optimalityare presented, including finite-sample and large-sample optimality. Then, some of the mostimportant methods are summarized, as well as resampling methodology which is useful toset critical values. Finally, we consider the problem of multiple testing, which has witnesseda burgeoning literature in recent years.[...]