메뉴 건너뛰기




Volumn 2, Issue , 2010, Pages 75-105

Hypothesis testing in econometrics

Author keywords

Asymptotics; Multiple testing; Optimality; Resampling

Indexed keywords


EID: 79952597689     PISSN: 19411383     EISSN: 19411391     Source Type: Journal    
DOI: 10.1146/annurev.economics.102308.124342     Document Type: Article
Times cited : (92)

References (59)
  • 1
    • 0000488543 scopus 로고    scopus 로고
    • Hypothesis testing with a restricted parameter space
    • PII S0304407697000833
    • Andrews DWK. 1998. Hypothesis testing with a restricted parameter space. J. Econom. 84:155-99 (Pubitemid 128393270)
    • (1998) Journal of Econometrics , vol.84 , Issue.1 , pp. 155-199
    • Andrews, D.W.K.1
  • 2
    • 0001198502 scopus 로고    scopus 로고
    • Inconsistency of the bootstrap when a parameter is on the boundary of the parameter space
    • Andrews DWK. 2000. Inconsistency of the bootstrap when a parameter is on the boundary of the parameter space. Econometrica 68:399-405
    • (2000) Econometrica , vol.68 , pp. 399-405
    • Andrews, D.W.K.1
  • 3
    • 65949111791 scopus 로고    scopus 로고
    • Validity of subsampling and 'plug-in asymptotic' inference for parameters defined by moment inequalities
    • Andrews DWK, Guggenberger P. 2009. Validity of subsampling and 'plug-in asymptotic' inference for parameters defined by moment inequalities. Econom. Theory 25(3):669-709
    • (2009) Econom. Theory , vol.25 , Issue.3 , pp. 669-709
    • Andrews, D.W.K.1    Guggenberger, P.2
  • 4
    • 33646375486 scopus 로고    scopus 로고
    • Optimal two-sided invariant similar tests for instrumental variables regression
    • DOI 10.1111/j.1468-0262.2006.00680.x
    • Andrews DWK, Moreira MJ, Stock JH. 2006. Optimal two-sided invariant similar tests for instrumental variables regression. Econometrica 74:715-52 (Pubitemid 43667559)
    • (2006) Econometrica , vol.74 , Issue.3 , pp. 715-752
    • Andrews, D.W.K.1    Moreira, M.J.2    Stock, J.H.3
  • 5
    • 0001132175 scopus 로고
    • The nonexistence of certain statistical procedures in nonparametric problems
    • Bahadur RR, Savage LJ. 1956. The nonexistence of certain statistical procedures in nonparametric problems. Ann. Math. Stat. 27(4):1115-22
    • (1956) Ann. Math. Stat , vol.27 , Issue.4 , pp. 1115-1122
    • Bahadur, R.R.1    Savage, L.J.2
  • 6
    • 0001677717 scopus 로고
    • Controlling the false discovery rate: A practical and powerful approach to multiple testing
    • Benjamini Y, Hochberg Y. 1995. Controlling the false discovery rate: a practical and powerful approach to multiple testing. J. R. Stat. Soc. B 57(1):289-300
    • (1995) J. R. Stat. Soc. B. , vol.57 , Issue.1 , pp. 289-300
    • Benjamini, Y.1    Hochberg, Y.2
  • 7
    • 33746197428 scopus 로고    scopus 로고
    • Adaptive linear step-up procedures that control the false discovery rate
    • DOI 10.1093/biomet/93.3.491
    • Benjamini Y, Krieger AM, Yekutieli D. 2006. Adaptive linear step-up procedures that control the false discovery rate. Biometrika 93(3):491-507 (Pubitemid 44599846)
    • (2006) Biometrika , vol.93 , Issue.3 , pp. 491-507
    • Benjamini, Y.1    Krieger, A.M.2    Yekutieli, D.3
  • 8
    • 0035733108 scopus 로고    scopus 로고
    • The control of the false discovery rate in multiple testing under dependency
    • DOI 10.1214/aos/1013699998
    • Benjamini Y, Yekutieli D. 2001. The control of the false discovery rate in multiple testing under dependency. Ann. Stat. 29(4):1165-88 (Pubitemid 33575263)
    • (2001) Annals of Statistics , vol.29 , Issue.4 , pp. 1165-1188
    • Benjamini, Y.1    Yekutieli, D.2
  • 9
    • 0010159959 scopus 로고
    • Bootstrap methods in statistics
    • Beran R. 1984. Bootstrap methods in statistics. Jahresber. Dtsch. Math. Ver. 86:14-30
    • (1984) Jahresber. Dtsch. Math. Ver , vol.86 , pp. 14-30
    • Beran, R.1
  • 11
    • 0001620014 scopus 로고
    • Asymptotic efficiency in estimation with conditional moment restrictions
    • Chamberlain G. 1987. Asymptotic efficiency in estimation with conditional moment restrictions. J. Econom. 34(3):305-34
    • (1987) J. Econom , vol.34 , Issue.3 , pp. 305-334
    • Chamberlain, G.1
  • 12
    • 34547678276 scopus 로고    scopus 로고
    • Estimation and confidence regions for parameter sets in econometric models
    • Chernozhukov V, Hong H, Tamer E. 2007. Estimation and confidence regions for parameter sets in econometric models. Econometrica 75(5):1243-84
    • (2007) Econometrica , vol.75 , Issue.5 , pp. 1243-1284
    • Chernozhukov, V.1    Hong, H.2    Tamer, E.3
  • 17
    • 85036258669 scopus 로고
    • Distribution of the estimators for autoregressive time series with a unit root
    • Dickey DA, Fuller WA. 1979. Distribution of the estimators for autoregressive time series with a unit root. J. Am. Stat. Assoc. 74:427-31
    • (1979) J. Am. Stat. Assoc. , vol.74 , pp. 427-431
    • Dickey, D.A.1    Fuller, W.A.2
  • 18
    • 54549110274 scopus 로고    scopus 로고
    • Resampling-based empirical Bayes multiple testing procedures for controlling generalized tail probability and expected value error rates: Focus on the false discovery rate and simulation study
    • Dudoit S, Gilbert H, van der Laan MJ. 2008. Resampling-based empirical Bayes multiple testing procedures for controlling generalized tail probability and expected value error rates: focus on the false discovery rate and simulation study. Biom. J. 50(5):716-44
    • (2008) Biom. J. , vol.50 , Issue.5 , pp. 716-744
    • Dudoit, S.1    Gilbert, H.2    Van Der Laan, M.J.3
  • 19
    • 0000417969 scopus 로고    scopus 로고
    • Some impossibility theorems in econometrics with applications to structural and dynamic models
    • Dufour J-M. 1997. Some impossibility theorems in econometrics with applications to structural and dynamic models. Econometrica 65(6):1365-87 (Pubitemid 127466782)
    • (1997) Econometrica , vol.65 , Issue.6 , pp. 1365-1387
    • Dufour, J.-M.1
  • 20
    • 0002344794 scopus 로고
    • Bootstrap methods: Another look at the jackknife
    • Efron B. 1979. Bootstrap methods: another look at the jackknife. Ann. Stat. 7:1-26
    • (1979) Ann. Stat , vol.7 , pp. 1-26
    • Efron, B.1
  • 21
    • 0030356207 scopus 로고    scopus 로고
    • Efficient tests for an autoregressive unit root
    • Elliot G, Rothenberg TJ, Stock JH. 1996. Efficient tests for an autoregressive unit root. Econometrica 64:813-36 (Pubitemid 126463295)
    • (1996) Econometrica , vol.64 , Issue.4 , pp. 813-836
    • Elliott, G.1    Rothenberg, T.J.2    Stock, J.H.3
  • 22
    • 65349175763 scopus 로고    scopus 로고
    • An adaptive step-down procedure with proven FDR control
    • Gavrilov Y, Benjamini Y, Sarkar SK. 2009. An adaptive step-down procedure with proven FDR control. Ann. Stat. 37(2):619-29
    • (2009) Ann. Stat , vol.37 , Issue.2 , pp. 619-629
    • Gavrilov, Y.1    Benjamini, Y.2    Sarkar, S.K.3
  • 23
    • 0030363303 scopus 로고    scopus 로고
    • Bootstrap critical values for tests based on generalized-method-of- moments estimators
    • Hall P, Horowitz J. 1996. Bootstrap critical values for tests based on generalized-method-of-moments estimators. Econometrica 64(4):891-916 (Pubitemid 126463298)
    • (1996) Econometrica , vol.64 , Issue.4 , pp. 891-916
    • Hall, P.1    Horowitz, J.L.2
  • 24
    • 0000414660 scopus 로고
    • Large sample properties of generalized method of moments estimators
    • Hansen L. 1982. Large sample properties of generalized method of moments estimators. Econometrica 50:1029-54
    • (1982) Econometrica , vol.50 , pp. 1029-1054
    • Hansen, L.1
  • 25
    • 27544466375 scopus 로고    scopus 로고
    • A test for superior predictive ability
    • DOI 10.1198/073500105000000063
    • Hansen PR. 2005. A test for superior predictive ability. J. Bus. Econ. Stat. 23:365-80 (Pubitemid 41539052)
    • (2005) Journal of Business and Economic Statistics , vol.23 , Issue.4 , pp. 365-380
    • Hansen, P.R.1
  • 26
    • 0002294347 scopus 로고
    • A simple sequentially rejective multiple test procedure
    • Holm S. 1979. A simple sequentially rejective multiple test procedure. Scand. J. Stat. 6:65-70
    • (1979) Scand. J. Stat , vol.6 , pp. 65-70
    • Holm, S.1
  • 27
    • 0039317420 scopus 로고
    • Controlled uncertainty
    • ed. P Bauer, G Hommel, E Sonnemann, Heidelberg: Springer
    • Hommel G, Hoffman T. 1988. Controlled uncertainty. In Multiple Hypothesis Testing, ed. P Bauer, G Hommel, E Sonnemann, pp. 154-61. Heidelberg: Springer
    • (1988) Multiple Hypothesis Testing , pp. 154-161
    • Hommel, G.1    Hoffman, T.2
  • 28
    • 70350120268 scopus 로고    scopus 로고
    • The bootstrap
    • ed. Z Griliches, JJ Heckman, MD Intriligator, EE Leamer, Amsterdam: North Holland
    • Horowitz J. 2001. The bootstrap. In Handbook of Econometrics, Vol. 5, ed. Z Griliches, JJ Heckman, MD Intriligator, EE Leamer, pp. 3159-228. Amsterdam: North Holland
    • (2001) Handbook of Econometrics , vol.5 , pp. 3159-3228
    • Horowitz, J.1
  • 29
    • 51349084643 scopus 로고    scopus 로고
    • Semiparametric power envelopes for tests of the unit root hypothesis
    • Jansson M. 2008. Semiparametric power envelopes for tests of the unit root hypothesis. Econometrica 76:1103-42
    • (2008) Econometrica , vol.76 , pp. 1103-1142
    • Jansson, M.1
  • 31
    • 0000514664 scopus 로고
    • Testing multiparameter hypotheses
    • Lehmann EL. 1952. Testing multiparameter hypotheses. Ann. Math. Stat. 23:541-52
    • (1952) Ann. Math. Stat , vol.23 , pp. 541-552
    • Lehmann, E.L.1
  • 33
    • 23744439164 scopus 로고    scopus 로고
    • Generalizations of the familywise error rate
    • DOI 10.1214/009053605000000084
    • Lehmann EL, Romano JP. 2005a. Generalizations of the familywise error rate. Ann. Stat. 33(3):1138-54 (Pubitemid 41137878)
    • (2005) Annals of Statistics , vol.33 , Issue.3 , pp. 1138-1154
    • Lehmann, E.L.1    Romano, J.P.2
  • 37
    • 34547665221 scopus 로고    scopus 로고
    • Uniform inference in autoregressive models
    • Mikusheva A. 2007. Uniform inference in autoregressive models. Econometrica 75(5):1411-52
    • (2007) Econometrica , vol.75 , Issue.5 , pp. 1411-1452
    • Mikusheva, A.1
  • 38
    • 0141718527 scopus 로고    scopus 로고
    • A conditional likelihood ratio test for structural models
    • Moreira MJ. 2003. A conditional likelihood ratio test for structural models. Econometrica 71(4):1027-48
    • (2003) Econometrica , vol.71 , Issue.4 , pp. 1027-1048
    • Moreira, M.J.1
  • 39
    • 70350096085 scopus 로고
    • Large-sample estimation and hypothesis testing
    • ed. RF Engle, DL McFadden, Amsterdam: Elsevier
    • Newey WK, McFadden DL. 1994. Large-sample estimation and hypothesis testing. In Handbook of Econometrics, Vol. 4, ed. RF Engle, DL McFadden, pp. 2111-245. Amsterdam: Elsevier
    • (1994) Handbook of Econometrics , vol.4 , pp. 2111-2245
    • Newey, W.K.1    McFadden, D.L.2
  • 40
    • 0000706085 scopus 로고
    • A simple positive semi-definite, heteroskedasticity and autocorrelation consistent covariance matrix
    • Newey WK, West KD. 1987. A simple positive semi-definite, heteroskedasticity and autocorrelation consistent covariance matrix. Econometrica 55:703-8
    • (1987) Econometrica , vol.55 , pp. 703-708
    • Newey, W.K.1    West, K.D.2
  • 42
    • 10444289771 scopus 로고    scopus 로고
    • On non-parametric testing, the uniform behaviour of the t-test, and related problems
    • Romano JP. 2004. On nonparametric testing, the uniform behavior of the t-test, and related problems. Scand. J. Stat. 31(4):567-84 (Pubitemid 39636949)
    • (2004) Scandinavian Journal of Statistics , vol.31 , Issue.4 , pp. 567-584
    • Romano, J.P.1
  • 43
    • 34547688949 scopus 로고    scopus 로고
    • Inference for the identified set in partially identified econometric models
    • Dep. Statistics, Stanford Univ
    • Romano JP, Shaikh AM. 2006a. Inference for the identified set in partially identified econometric models. Tech. Rep. 2006-10, Dep. Statistics, Stanford Univ.
    • (2006) Tech. Rep. 2006-10
    • Romano, J.P.1    Shaikh, A.M.2
  • 44
    • 39749172038 scopus 로고    scopus 로고
    • On stepdown control of the false discovery proportion
    • ed. J Rojo, Beachwood, OH: Inst. Math. Stat
    • Romano JP, Shaikh AM. 2006b. On stepdown control of the false discovery proportion. In Optimality: The Second Erich L. Lehmann Symposium, ed. J Rojo, pp. 33-50. Beachwood, OH: Inst. Math. Stat.
    • (2006) Optimality: The Second Erich L. Lehmann Symposium , pp. 33-50
    • Romano, J.P.1    Shaikh, A.M.2
  • 45
    • 33749828387 scopus 로고    scopus 로고
    • Stepup procedures for control of generalizations of the familywise error rate
    • DOI 10.1214/009053606000000461
    • Romano JP, Shaikh AM. 2006c. Stepup procedures for control of generalizations of the familywise error rate. Ann. Stat. 34(4):1850-73 (Pubitemid 44875084)
    • (2006) Annals of Statistics , vol.34 , Issue.4 , pp. 1850-1873
    • Romano, J.P.1    Shaikh, A.M.2
  • 46
    • 43849087376 scopus 로고    scopus 로고
    • Inference for identifiable parameters in partially identified econometric models
    • Romano JP, Shaikh AM. 2008. Inference for identifiable parameters in partially identified econometric models. J. Stat. Plan. Inference 138(9):2786-807
    • (2008) J. Stat. Plan. Inference , vol.138 , Issue.9 , pp. 2786-2807
    • Romano, J.P.1    Shaikh, A.M.2
  • 47
    • 57649240445 scopus 로고    scopus 로고
    • Control of the false discovery rate under dependence using the bootstrap and subsampling (with discussion)
    • Romano JP, Shaikh AM, Wolf M. 2008a. Control of the false discovery rate under dependence using the bootstrap and subsampling (with discussion). Test 17(3):417-42
    • (2008) Test , vol.17 , Issue.3 , pp. 417-442
    • Romano, J.P.1    Shaikh, A.M.2    Wolf, M.3
  • 48
    • 39749088213 scopus 로고    scopus 로고
    • Formalized data snooping based on generalized error rates
    • Romano JP, Shaikh AM, Wolf M. 2008b. Formalized data snooping based on generalized error rates. Econom. Theory 24(2):404-47
    • (2008) Econom. Theory , vol.24 , Issue.2 , pp. 404-447
    • Romano, J.P.1    Shaikh, A.M.2    Wolf, M.3
  • 49
    • 0034362022 scopus 로고    scopus 로고
    • Finite sample nonparametric inference and large sample efficiency
    • Romano JP, Wolf M. 2000. Finite sample nonparametric inference and large sample efficiency. Ann. Stat. 28(3):756-78
    • (2000) Ann. Stat , vol.28 , Issue.3 , pp. 756-778
    • Romano, J.P.1    Wolf, M.2
  • 50
    • 14944362897 scopus 로고    scopus 로고
    • Exact and approximate stepdown methods for multiple hypothesis testing
    • DOI 10.1198/016214504000000539
    • Romano JP, Wolf M. 2005. Exact and approximate stepdown methods for multiple hypothesis testing. J. Am. Stat. Assoc. 100:94-108 (Pubitemid 40366821)
    • (2005) Journal of the American Statistical Association , vol.100 , Issue.469 , pp. 94-108
    • Romano, J.P.1    Wolf, M.2
  • 51
    • 39749098114 scopus 로고    scopus 로고
    • Control of generalized error rates in multiple testing
    • Romano JP, Wolf M. 2007. Control of generalized error rates in multiple testing. Ann. Stat. 35(4):1378-408
    • (2007) Ann. Stat , vol.35 , Issue.4 , pp. 1378-1408
    • Romano, J.P.1    Wolf, M.2
  • 52
    • 1142273091 scopus 로고    scopus 로고
    • Strong control, conservative point estimation and simultaneous conservative consistency of false discovery rates: A unified approach
    • DOI 10.1111/j.1467-9868.2004.00439.x
    • Storey JD, Taylor JE, Siegmund D. 2004. Strong control, conservative point estimation and simultaneous conservative consistency of false discovery rates: a unified approach. J. R. Stat. Soc. B 66(1):187-205 (Pubitemid 38210666)
    • (2004) Journal of the Royal Statistical Society. Series B: Statistical Methodology , vol.66 , Issue.1 , pp. 187-205
    • Storey, J.D.1    Taylor, J.E.2    Siegmund, D.3
  • 53
    • 26444606686 scopus 로고    scopus 로고
    • Empirical bayes and resampling based multiple testing procedure controlling tail probability of the proportion of false positives
    • van der Laan MJ, Birkner MD, Hubbard AE. 2005. Empirical bayes and resampling based multiple testing procedure controlling tail probability of the proportion of false positives. Stat. Appl. Genet. Mol. Biol. 4(1):29
    • (2005) Stat. Appl. Genet. Mol. Biol. , vol.4 , Issue.1 , pp. 29
    • Van Der Laan, M.J.1    Birkner, M.D.2    Hubbard, A.E.3
  • 54
    • 14644413619 scopus 로고    scopus 로고
    • Augmentation procedures for control of the generalized family-wise error rate and tail probabilities for the proportion of false positives
    • van der Laan MJ, Dudoit S, Pollard KS. 2004. Augmentation procedures for control of the generalized family-wise error rate and tail probabilities for the proportion of false positives. Stat. Appl. Genet. Mol. Biol. 3(1):15
    • (2004) Stat. Appl. Genet. Mol. Biol. , vol.3 , Issue.1 , pp. 15
    • Van Der Laan, M.J.1    Dudoit, S.2    Pollard, K.S.3
  • 58
    • 0000028873 scopus 로고    scopus 로고
    • A reality check for data snooping
    • White HL. 2000. A reality check for data snooping. Econometrica 68(5):1097-126
    • (2000) Econometrica , vol.68 , Issue.5 , pp. 1097-1126
    • White, H.L.1
  • 59
    • 0033472709 scopus 로고    scopus 로고
    • Resampling-based false discovery rate controlling multiple test procedures for correlated test statistics
    • Yekutieli D, Benjamini Y. 1999. Resampling-based false discovery rate controlling multiple test procedures for correlated test statistics. J. Stat. Plann. Inference 82:171-96
    • (1999) J. Stat. Plann. Inference , vol.82 , pp. 171-196
    • Yekutieli, D.1    Benjamini, Y.2


* 이 정보는 Elsevier사의 SCOPUS DB에서 KISTI가 분석하여 추출한 것입니다.