Bailey, Natalia; Pesaran, M. Hashem; Smith, L. Vanessa - 2014
insights from the multiple testing literature. The method tests the statistical significance of individual pair …-wise correlations and sets to zero those elements that are not statistically significant, taking account of the multiple testing nature … multiple testing (MT) estimator to a number of thresholding and shrinkage estimators in the literature in a detailed Monte …