Search Results - subject_exact:"Hypothesis testing"

Testing identifying assumptions in Tobit models

Acerenza, Santiago; Bartalotti, Otávio; Veneri, Federico - 2026

We develop testable implications for the identifying assumptions of Tobit and IV-Tobit models: linear index, (joint) normality of errors, treatment (instrument) exogeneity, and relevance. The new testable equalities can detect all possible observable violations of the identifying conditions. The...

Persistent link: https://www.econbiz.de, ebvufind01.dmz1.zbw.eu/10015638520

Testing for multiple structural breaks in multivariate long memory regression models

Less, Vivien; Rodrigues, Paulo M. M.; Sibbertsen, Philipp - 2025

This paper focuses on the estimation and testing of multiple breaks that occur at unknown dates in multivariate long memory time series regression models, allowing for fractional cointegration. A likelihood-ratio based approach for estimating the breaks in the parameters and in the covariance of...

Persistent link: https://www.econbiz.de, ebvufind01.dmz1.zbw.eu/10015200188

Power to the researchers : calculating power after estimation

Tian, Jiarui; Coupé, Tom; Khatua, Sayak; Reed, W. Robert; … - 2025

Persistent link: https://www.econbiz.de, ebvufind01.dmz1.zbw.eu/10015334797

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Power to the researchers : calculating power after estimation

Tian, Alex; Coupé, Tom; Khatua, Sayak; Reed, W. Robert; … - 2022

Book / Working Paper

Optimal binary classification

Kotchoni, Rachidi - 2025

Persistent link: https://www.econbiz.de, ebvufind01.dmz1.zbw.eu/10015508703

Media stars : statistical significance and research impact

Brodeur, Abel; Cook, Nikolai; Heyes, Anthony; Wright, Taylor - 2025

How efficiently do scientific results make their way into the wider world? Applying multiple methods to the universe of hypothesis tests reported in three leading health journals between 2016 and 2022 we evidence the important role of statistical significance as a driver of popular attention to...

Persistent link: https://www.econbiz.de, ebvufind01.dmz1.zbw.eu/10015437884

Empirical evaluation of competing high-frequency estimators of quadratic variation

Bowers, Colin; Heaton, Christopher - 2025

Persistent link: https://www.econbiz.de, ebvufind01.dmz1.zbw.eu/10015425421

Comparing multivariate distributions : a novel approach using optimal transport-based plots

Singha, Sibsankar; Kratz, Marie; Vadlamani, Sreekar - 2024

Persistent link: https://www.econbiz.de, ebvufind01.dmz1.zbw.eu/10014545370

Inference for parameters identified by conditional moment restrictions using a generalized Bierens maximum statistic

Chen, Xiaohong; Lee, Sokbae; Seo, Myung Hwan; Song, … - 2024

Many economic panel and dynamic models, such as rational behavior and Euler equations, imply that the parameters of interest are identified by conditional moment restrictions. We introduce a novel inference method without any prior information about which conditioning instruments are weak or...

Persistent link: https://www.econbiz.de, ebvufind01.dmz1.zbw.eu/10015149596

Predictable by construction : assessing forecast directional accuracy of temporal aggregates

McCarthy, Martin; Snudden, Stephen - 2024 - Updated: November 2024

Persistent link: https://www.econbiz.de, ebvufind01.dmz1.zbw.eu/10015123351

How and why alpha should depend on sample size : a Bayesian-frequentist compromise for significance testing

Wulff, Jesper Nydam; Taylor, Luke - 2024

Persistent link: https://www.econbiz.de, ebvufind01.dmz1.zbw.eu/10014632880

Long-run linkages and parameter instability in the gold–silver relationship, 2010-2025

Caporale, Guglielmo Maria; Palomares, Antonio Fons; … - 2026

This paper examines long-run linkages and possible instabilities in the gold–silver price relationship using daily futures prices over the period from 4 January 2010 to 28 November 2025. The empirical analysis includes unit-root and cointegration tests as well as endogenous structural break...

Persistent link: https://www.econbiz.de, ebvufind01.dmz1.zbw.eu/10015626655

Comparing the estimation of value at risk and expected shortfall with LSTM and EGARCH family members

Li, Shujie - 2026

Persistent link: https://www.econbiz.de, ebvufind01.dmz1.zbw.eu/10015627081

Testing the normality assumption in an ordered probit model using an artificial regression : some results for the LM-test

Wilde, Joachim; Forstinger, Sarah - 2026

The key assumption of normally distributed error terms is usually not tested in empirical practice when using ordered probit models. Therefore, an artificial regression version of the LM test against the class of Pearson distributions is derived that can be implemented more easily than the...

Persistent link: https://www.econbiz.de, ebvufind01.dmz1.zbw.eu/10015615792

Initial-condition-robust inference in autoregressive models

Andrews, Donald W. K.; Li, Ming; Zheng, Yapeng - 2026

Persistent link: https://www.econbiz.de, ebvufind01.dmz1.zbw.eu/10015618889

It must be very hard to publish null results

Briggs, Ryan C.; Mellon, Jonathan; Arel-Bundock, Vincent - 2026

Publication practices in the social sciences act as a filter that favors statistically significant results over null findings. While the problem of selection on significance (SoS) is well-known in theory, it has been difficult to measure its scope empirically, and it has been challenging to...

Persistent link: https://www.econbiz.de, ebvufind01.dmz1.zbw.eu/10015606093

MSTest: an R-package for testing Markov switching models

Rodriguez Rondon, Gabriel; Dufour, Jean-Marie - 2026 - Last updated: March 4, 2026

We present the R package MSTest, which implements hypothesis testing procedures to determine the number of regimes in Markov switching models. These models have wide ranging applications in economics, finance, and many other fields. MSTest provides several testing frameworks, including Monte...

Persistent link: https://www.econbiz.de, ebvufind01.dmz1.zbw.eu/10015612283

Specification testing for binary choice model via maximum score

Ota, Yuta; Otsu, Taisuke - 2026

Persistent link: https://www.econbiz.de, ebvufind01.dmz1.zbw.eu/10015561469

ROBIST : robust optimization by iterative scenario sampling and statistical testing

Starreveld, Justin; Jin, Guanyu; Hertog, Dirk den; … - 2026

Persistent link: https://www.econbiz.de, ebvufind01.dmz1.zbw.eu/10015534326

Systematic backtesting of probability of default models with regulatory data : methodological advances and empirical insights from European regulatory data

Casellina, Simone; Chionsini, Gaetano; Kopp, Raphael M.; … - 2026

Internal ratings-based models play a central role in bank risk management and regulatory capital determination, yet their validation remains methodologically challenging and operationally resourceintensive. In this paper, we contribute to the quantitative validation of probability of default...

Persistent link: https://www.econbiz.de, ebvufind01.dmz1.zbw.eu/10015638710

Testing IV validity and LATE interpretation using flexible covariate specifications

Krumme, Anna; Westphal, Matthias - 2026

Building on the testable implications for IV validity underlying local average treatment effect (LATE) estimation, we (i) propose a simple testing procedure that may accommodate high-dimensional covariates and (ii) demonstrate that it can also detect biases arising from misspecified IV...

Persistent link: https://www.econbiz.de, ebvufind01.dmz1.zbw.eu/10015638105

Pre-results review and p-hacking

Naguib, Costanza - 2026

In 2018, the Journal of Development Economics introduced a pre-results review track, allowing prospective empirical projects to be assessed before the realization and reporting of their results. This paper studies whether this change in the editorial process affected the prevalence of p-hacking...

Persistent link: https://www.econbiz.de, ebvufind01.dmz1.zbw.eu/10015638589

Power law heteroskedasticity

Price, David J. - 2026

Persistent link: https://www.econbiz.de, ebvufind01.dmz1.zbw.eu/10015647094

Is inference conditional on not rejecting a pre-test less reliable than unconditional inference?

Chaisemartin, Clément de; D'Haultfœuille, Xavier - 2026

Assume that an estimator is asymptotically normal for a target parameter under some conditions. Suppose also that one can test these conditions, and one conducts inference for the target only if the pre-test is not rejected. Does such pre-testing undermine inference? We show that if the tested...

Persistent link: https://www.econbiz.de, ebvufind01.dmz1.zbw.eu/10015644454

Fundamentals of statistical inference : foundations of data analysis

Zuev, Konstantin M. - 2026

Summarizing Data -- Populations, Samples, and Inference -- Modeling and Inference: A Big Picture -- Nonparametric Estimation of the CDF and the Plug-In Principle -- The Jackknife Method -- The Bootstrap Method -- The Method of Moments -- The Method of Maximum Likelihood -- Hypothesis Testing: A...

Persistent link: https://www.econbiz.de, ebvufind01.dmz1.zbw.eu/10015560193

Familial inference : tests for hypotheses on a family of centres

Thompson, Ryan; Forbes, Catherine Scipione; MacEachern, … - 2023

Persistent link: https://www.econbiz.de, ebvufind01.dmz1.zbw.eu/10014452555

Instability of factor strength in asset returns

Massacci, Daniele - 2025

Persistent link: https://www.econbiz.de, ebvufind01.dmz1.zbw.eu/10015534490

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Instability of factor strength in asset returns

Massacci, Daniele - 2023

Book / Working Paper

Fully modified least squares estimation and inference for systems of cointegrating polynomial regressions

Wagner, Martin - 2023

Persistent link: https://www.econbiz.de, ebvufind01.dmz1.zbw.eu/10014455149

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Fully modified least squares estimation and inference for systems of cointegrating polynomial regressions

Wagner, Martin - 2023

Book / Working Paper

Fully modified least squares estimation and inference for systems of cointegrating polynomial regressions

Wagner, Martin - 2023

Book / Working Paper

Double conditioning : the hidden connection between Bayesian and classical statistics

Manganelli, Simone - 2023

Bayesian decisions are observationally identical to decisions with judgment. Decisions with judgment test whether a judgmental decision is optimal and, in case of rejection, move to the closest boundary of the confidence interval, for a given confidence level. The resulting decisions condition...

Persistent link: https://www.econbiz.de, ebvufind01.dmz1.zbw.eu/10013553488

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Double conditioning: The hidden connection between Bayesian and classical statistics

Manganelli, Simone - 2023

Book / Working Paper

Does liquidity management induce fragility in treasury prices? : evidence from bond mutual funds

Huang, Shiyang; Jiang, Wenxi; Liu, Xiaoxi; Liu, Xin - 2025

Persistent link: https://www.econbiz.de, ebvufind01.dmz1.zbw.eu/10015371019

Quantile-based test for heterogeneous treatment effects

Chung, EunYi; Olivares, Mauricio - 2025

Persistent link: https://www.econbiz.de, ebvufind01.dmz1.zbw.eu/10015372703

Bonferroni-type tests for return predictability with possibly trending predictors

Astill, Sam; Harvey, David I.; Leybourne, Stephen James; … - 2025

Persistent link: https://www.econbiz.de, ebvufind01.dmz1.zbw.eu/10015372710

Nonparametric inference for a triangular system of equations for quantile regression

Kim, Yubin; Lee, Sungwon - 2025

Persistent link: https://www.econbiz.de, ebvufind01.dmz1.zbw.eu/10015325814

Testing for nonlinear cointegration under heteroskedasticity

Hanck, Christoph; Massing, Till Philipp Georg - 2025

Persistent link: https://www.econbiz.de, ebvufind01.dmz1.zbw.eu/10015196620

Robust inference in instrumental variable models

Klooster, Jens - 2025

Persistent link: https://www.econbiz.de, ebvufind01.dmz1.zbw.eu/10015199696

Asymptotic F and t tests in cointegrating regressions with asymptotically homogeneous functions

Hwang, Jungbin; Sun, Yixiao - 2025

Persistent link: https://www.econbiz.de, ebvufind01.dmz1.zbw.eu/10015183163

Double robust inference for continuous updating GMM

Kleibergen, Frank; Zhan, Zhaoguo - 2025

We propose the double robust Lagrange multiplier (DRLM) statistic for testing hypotheses specified on the minimizer of the population continuous updating objective function. The (bounding) χ2 limiting distribution of the DRLM statistic is robust to both misspecification and weak identification,...

Persistent link: https://www.econbiz.de, ebvufind01.dmz1.zbw.eu/10015190343

Under the null of valid specification, pre-tests cannot make post-test inference liberal

Chaisemartin, Clément de; D'Haultfœuille, Xavier - 2025

Persistent link: https://www.econbiz.de, ebvufind01.dmz1.zbw.eu/10015191509

Spatial unit roots in regressions : a practitioner's guide and a stata package

Becker, Sascha O.; Boll, Paul David; Voth, Hans-Joachim - 2025

Spatial unit roots can lead to spurious regression results. We present a brief overview of the methods developed in Müller and Watson (2024) to test for and correct for spatial unit roots. We also introduce a suite of Stata commands (-spur-) implementing these techniques. Our commands exactly...

Persistent link: https://www.econbiz.de, ebvufind01.dmz1.zbw.eu/10015191744

Assessing integration orders for SARIMA modeling A hypothesis testing approach with information criterion hyperparameter selection, case of predicting gas consumption in central Tunisia

Slimane, Mohamed; Bedioui, Neila; Besbes, Mongi - 2025

Forecasting natural gas demand is critical for enhancing energy efficiency, optimizing infrastructure planning, and supporting Tunisia's transition toward sustainable energy. As the fastest-growing fossil fuel and one of the cleanest among non-renewable energy sources, natural gas plays a...

Persistent link: https://www.econbiz.de, ebvufind01.dmz1.zbw.eu/10015486055

Value added to marketing research diagnoses by add-ons to p-values

Bultez, Alain; Herrmann, Jean-Luc - 2025

Persistent link: https://www.econbiz.de, ebvufind01.dmz1.zbw.eu/10015486172

A uniformly valid test for instrument exogeneity

Dovonon, Prosper; Gospodinov, Nikolaj - 2025

This paper studies the limiting behavior of the test for instrument exogeneity in linear models when there is uncertainty about the strength of the identification signal. We consider the test for conditional moment restrictions with an expanding set of constructed instruments. We establish the...

Persistent link: https://www.econbiz.de, ebvufind01.dmz1.zbw.eu/10015460258

Testing mean stationarity of intraday volatility curves

Andersen, Torben; Tan, Yingwen; Todorov, Viktor; Zhang, … - 2025

We develop a test for mean stationarity of latent volatility curves using high-frequency data. To derive the asymptotic test size and power, we establish a functional invariance principle for semimartingales under a strong mixing condition. The power properties are analyzed under alternatives...

Persistent link: https://www.econbiz.de, ebvufind01.dmz1.zbw.eu/10015460599

Manipulation test for multidimensional RDD

Crippa, Federico - 2025

Persistent link: https://www.econbiz.de, ebvufind01.dmz1.zbw.eu/10015463331

Testing for equal predictive accuracy with strong dependence

Coroneo, Laura; Iacone, Fabrizio - 2025

Persistent link: https://www.econbiz.de, ebvufind01.dmz1.zbw.eu/10015441527

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Testing for equal predictive accuracy with strong dependence

Coroneo, Laura; Iacone, Fabrizio - 2021

Book / Working Paper

Testing for multinormality with goodness-of-fit tests based on phi divergence measures

Madukaife, Mbanefo S.; Nduka, Uchenna C.; Ossai, … - 2025

In this paper, a beta transform of multivariate normal datasets is obtained. The phi divergence measure, DΦ(F,G) between two distributions F and G is used to obtain a goodnessof-fit test to multivariate normality (MVN) based on the theoretical density function of the beta transformed random...

Persistent link: https://www.econbiz.de, ebvufind01.dmz1.zbw.eu/10015447277

Monte Carlo-based VaR estimation and backtesting under Basel III

Cheng, Yueming - 2025

Value-at-Risk (VaR) is a key metric widely applied in market risk assessment and regulatory compliance under the Basel III framework. This study compares two Monte Carlo-based VaR models using publicly available equity data: a return-based model calibrated to historical portfolio volatility, and...

Persistent link: https://www.econbiz.de, ebvufind01.dmz1.zbw.eu/10015448974

Multivariate two-sample permutation test with directional alternative for categorical data

Bonnini, Stefano; Borghesi, Michela - 2025

This paper presents a distribution-free test, based on the permutation approach, on treatment effects with a multivariate categorical response variable. The motivating example is a typical case-control biomedical study, performed to investigate the effect of the treatment called "assisted motor...

Persistent link: https://www.econbiz.de, ebvufind01.dmz1.zbw.eu/10015506715

Normality tests for transformed large measured data : a comprehensive analysis

Feyo Bantu, Abu; Kozyra, Andrzej; Wiora, Józef - 2025

In statistical analysis, evaluating the normality of large datasets is crucial for validating parametric tests, particularly in areas such as Global Navigation Satellite System (GNSS) measurements, where data often exhibit non-normal characteristics resulting from their variability and errors....

Persistent link: https://www.econbiz.de, ebvufind01.dmz1.zbw.eu/10015506716