This paper questions traditional approaches for testing the day-of-the-week effect on stock returns. We propose an alternative approach based on the closure test principle introduced by Marcus, Peritz and Gabriel (1976), which has become very popular in Biometrics and Medical Statistics. We test...

This paper compares empirical type I error and power of different tests that have been proposed to assess the homogeneity of within-group variances. The main questions answered in the paper are:(1) Which tests are most effective (powerful and robust) when testing the homogeneity of variances in...

We study two types of testing problems in a nonparametric additive model setting: We develop methods to test (i) whether an additive component function has a given parametric form and (ii) whether an additive component has a structural break. We apply the theory to a nonparametric extension of...