Consider the problem of testing k hypotheses simultaneously. In this paper, we discuss finite and large sample theory of stepdown methods that provide control of the familywise error rate (FWE). In order to improve upon the Bonferroni method or Holm's (1979) stepdown method, Westfall and Young...

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

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...

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 introduces a computationally efficient bootstrap procedure for obtaining multiplicity-adjusted p-values in situations where multiple hypotheses are tested simultaneously. This new testing procedure accounts for the mutual dependence of the individual statistics, and is shown under...

Consider the problem of testing s hypotheses simultaneously. In this paper, we derive methods which control the generalized familywise error rate given by the probability of k or more false rejections, abbreviated k-FWER. We derive both single-step and stepdown procedures that control the k-FWER...

This paper considers the problem of testing s null hypotheses simultaneously while controlling the false discovery rate (FDR). Benjamini and Hochberg (1995) provide a method for controlling the FDR based on p-values for each of the null hypotheses under the assumption that the p-values are...

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We study the influence of a bandwidth parameter in inference with conditional estimating equations. In that aim, we propose a new class of smooth minimum distance estimators and we develop a theory that focuses on uniformity in bandwidth. We establish a vn-asymptotic representation of our...

Applied researchers often test for the difference of the variance of two investment strategies; in particular, when the investment strategies under consideration aim to implement the global minimum variance portfolio. A popular tool to this end is the F-test for the equality of variances....