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...

We consider a special class of multiple testing problems, consisting of M simultaneous point hypothesis tests in local statistical experiments. Under certain structural assumptions the global hypothesis contains exactly one element v* (say), and v* is least favourable parameter configuration...

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...