Please use this identifier to cite or link to this item: https://hdl.handle.net/10419/296116 
Year of Publication: 
2024
Series/Report no.: 
CESifo Working Paper No. 11027
Publisher: 
Center for Economic Studies and ifo Institute (CESifo), Munich
Abstract: 
We review tests of null hypotheses that consist of many subsidiary null hypotheses, including tests that have not received much attention in the econometrics literature. We study test performance in the context of specification testing for linear regressions based on a Monte Carlo study. Overall, parametric tests that use (transformed) P-values corresponding to all subsidiary null hypotheses outperform the well-known minimum P-value test and a recently proposed test that relies on the non-parametric estimation of the joint density of all subsidiary test statistics.
Subjects: 
combined hypothesis
P-value
multiple hypothesis testing
Fisher test
JEL: 
C12
C15
Document Type: 
Working Paper
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