It is common in econometric applications that several hypothesis tests are carried out at the same time. The problem then becomes how to decide which hypotheses to reject, accounting for the multitude of tests. In this paper, we suggest a stepwise multiple testing procedure which asymptotically...

Multilevel or mixed effects models are commonly applied to hierarchical data; for example, see Goldstein (2003), Raudenbush and Bryk (2002), and Laird and Ware (1982). Although there exist many outputs from such an analysis, the level-2 residuals, otherwise known as random effects, are often of...

It is common in econometric applications that several hypothesis tests are carried out at the same time. The problem then becomes how to decide which hypotheses to reject, accounting for the multitude of tests. The classical approach is to control the familywise error rate (FWE), that is, the...

This paper analyzes whether standard covariance matrix tests work when dimensionality is large, and in particular larger than sample size. In the latter case, the singularity of the sample covariance matrix makes likelihood ratio tests degenerate, but other tests based on quadratic forms of...

It is common in econometric applications that several hypothesis tests are carried out at the same time. The problem then becomes how to decide which hypotheses to reject, accounting for the multitude of tests. In this paper, we suggest a stepwise multiple testing procedure which asymptotically...

This paper analyzes whether standard covariance matrix tests work when dimensionality is large, and in particular larger than sample size. In the latter case, the singularity of the sample covariance matrix makes likelihood ratio tests degenerate, but other tests based on quadratic forms of...

It is common in econometric applications that several hypothesis tests are carried out at the same time. The problem then becomes how to decide which hypotheses to reject, accounting for the multitude of tests. In this paper, we suggest a stepwise multiple testing procedure which asymptotically...

Fund-of-funds (FoF) managers face the task of selecting a (relatively) small number ofhedge funds from a large universe of candidate funds. We analyse whether such a selectioncan be successfully achieved by looking at the track records of the available funds alone,using advanced statistical...

Markowitz portfolio selection is a cornerstone in finance, both in academia and in the industry. Most academic studies either ignore transaction costs or account for them in a way that is both unrealistic and suboptimal by (i) assuming transaction costs to be constant across stocks and (ii)...

Markowitz portfolio selection is a cornerstone in finance, in academia as well as in the industry. Most academic studies either ignore transaction costs or account for them in a way that is both unrealistic and suboptimal by (i) assuming transaction costs to be constant across stocks and (ii)...