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Hypothesis testing in econometrics


Romano, Joseph P; Shaikh, Azeem M; Wolf, Michael (2010). Hypothesis testing in econometrics. Annual Review of Economics, 2(1):75-104.

Abstract

This article reviews important concepts and methods that are useful for hypothesis testing. First, we discuss the Neyman-Pearson framework. Various approaches to optimality are presented, including finite-sample and large-sample optimality. Then, we summarize some of the most important methods, as well as resampling methodology, which is useful to set critical values. Finally, we consider the problem of multiple testing, which has witnessed a burgeoning literature in recent years. Along the way, we incorporate some examples that are current in the econometrics literature. While many problems with well-known successful solutions are included, we also address open problems that are not easily handled with current technology, stemming from such issues as lack of optimality or poor asymptotic approximations.

Abstract

This article reviews important concepts and methods that are useful for hypothesis testing. First, we discuss the Neyman-Pearson framework. Various approaches to optimality are presented, including finite-sample and large-sample optimality. Then, we summarize some of the most important methods, as well as resampling methodology, which is useful to set critical values. Finally, we consider the problem of multiple testing, which has witnessed a burgeoning literature in recent years. Along the way, we incorporate some examples that are current in the econometrics literature. While many problems with well-known successful solutions are included, we also address open problems that are not easily handled with current technology, stemming from such issues as lack of optimality or poor asymptotic approximations.

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23 citations in Scopus®
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Additional indexing

Item Type:Journal Article, refereed, original work
Communities & Collections:03 Faculty of Economics > Department of Economics
Dewey Decimal Classification:330 Economics
Language:English
Date:2010
Deposited On:09 Nov 2010 14:48
Last Modified:21 Nov 2017 15:00
Publisher:Annual Reviews
ISSN:1941-1383
Additional Information:Der Artikel wurde zur Veröffentlichung in überarbeiteter Form durch 'Annual Reviews' angenommen.
Free access at:Publisher DOI. An embargo period may apply.
Publisher DOI:https://doi.org/10.1146/annurev.economics.102308.124342

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