A generalized stepwise procedure with improved power for multiple inequalities testing

Yu Chin Hsu, Chung Ming Kuan, Meng Feng Yen

研究成果: Article同行評審

11 引文 斯高帕斯(Scopus)

摘要

We propose a stepwise test, Step-SPA(k), for multiple inequalities testing. This test is analogous to the Step-SPA test of Hsu, Hsu, and Kuan (2010, J. Empirical Econ., 17, 471-484) but has asymptotic control of a generalized familywise error rate: the probability of at least k false rejections. This test improves Step-RC(k) of Romano and Wolf (2007, Ann. Stat., 35, 1378-1408) by avoiding the least favorable configuration used in Step-RC(k). We show that the proposed Step- SPA(k) test is consistent and more powerful than Step-RC(k) under any power notion defined in Romano and Wolf (2005, Econometrica, 73, 1237-1282). An empirical study on Commodity Trading Advisor fund performance is then provided to illustrate the Step-SPA(k) test. Finally, we extend Step-SPA(k) to a procedure that asymptotically controls the false discovery proportion, the ratio of the number of false rejections over the number of total rejections, and show that it is more powerful than the corresponding procedure proposed by Romano and Wolf (2007, Ann. Stat., 35, 1378-1408).

原文English
文章編號nbu014
頁(從 - 到)730-755
頁數26
期刊Journal of Financial Econometrics
12
發行號4
DOIs
出版狀態Published - 2014 九月 1

All Science Journal Classification (ASJC) codes

  • Finance
  • Economics and Econometrics

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