Consider the problem of testing s hypotheses simultaneously. The usual approach to dealing with the multiplicity problem is to restrict attention to procedures that control the probability of even one false rejection, the familiar familywise error rate (FWER). In many applications, particularly...

Linear regression models form the cornerstone of applied research in economics and other scientific disciplines. When conditional heteroskedasticity is present, or at least suspected, the practice of reweighting the data has long been abandoned in favor of estimating model parameters by ordinary...

This paper considers the problem of testing a finite number of moment inequalities. We propose a two‐step approach. In the first step, a confidence region for the moments is constructed. In the second step, this set is used to provide information about which moments are “negative.” A...

This paper considers the problem of testing a finite number of moment inequalities. We propose a two-step approach. In the first step, a confidence region for the moments is constructed. In the second step, this set is used to provide information about which moments are “negative.” A...

We present a theoretical basis for testing related endpoints. Typically, it is known how to construct tests of the individual hypotheses, but not how to combine them into a multiple test procedure that controls the familywise error rate. Using the closure method, we emphasize the role of...