In econometrics, most null hypotheses are composite, dividing the parameters into parameters of interest and nuisance parameters. The domain of the nuisance parameters can influence the size-corrected critical value and hence the power of a test. We show that the domain of the nuisance...

Tests of statistical hypotheses can be based on either of two critical values: the Type I critical value or the size-corrected critical value. The former usually depends on unknown population parameters and cannot be evaluated exactly in applications, but it can often be estimated very...

Stimulus-response (SR) and belief-based learning (BBL) models are estimated with experimental data from sender-receiver games and compared using the Davidson and MacKinnon P-test for non-nested hypotheses. Depending on a certain adjustment parameter, the P-test favors the SR model, the BBL model...

This paper investigates the problem of testing that stock returns are uncorrelated without assuming statistical independence. This paper presents a generalized Box-Pierce Q statistics, denoted by Q*, which has an asymptotic chi-square distribution when the times series is uncorrelated provided...

In this paper we investigate the relation between expected return and firm size. Starting with the pionnering work of Banz (1981) and Reinganum (1981), this area has been one of the most researched topics in finance over the last 15 years.