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Subsampling p-values

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  • Berg, Arthur
  • McMurry, Timothy L.
  • Politis, Dimitris N.

Abstract

A construction of p-values for hypothesis tests based on subsampling and the related m out of n bootstrap is introduced. The p-values are based on a modification of the usual subsampling hypothesis tests that involves an appropriate centering of the subsampled or bootstrapped test statistics as in the construction of confidence intervals. This modification makes the hypothesis tests more powerful, and as a consequence provides meaningful p-values. The procedure is shown to apply for both i.i.d. and stationary data satisfying mixing conditions. The new p-values have the desired properties of being asymptotically uniform under the null hypothesis and converging to zero under the alternative.

Suggested Citation

  • Berg, Arthur & McMurry, Timothy L. & Politis, Dimitris N., 2010. "Subsampling p-values," Statistics & Probability Letters, Elsevier, vol. 80(17-18), pages 1358-1364, September.
    • Handle: RePEc:eee:stapro:v:80:y:2010:i:17-18:p:1358-1364
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    References listed on IDEAS

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    1. Delgado, Miguel A. & Rodriguez-Poo, Juan M. & Wolf, Michael, 2001. "Subsampling inference in cube root asymptotics with an application to Manski's maximum score estimator," Economics Letters, Elsevier, vol. 73(2), pages 241-250, November.
    2. Timothy K. Chue & In Choi, 2007. "Subsampling hypothesis tests for nonstationary panels with applications to exchange rates and stock prices," Journal of Applied Econometrics, John Wiley & Sons, Ltd., vol. 22(2), pages 233-264.
    3. Politis, Dimitris N. & Romano, Joseph P. & Wolf, Michael, 1999. "On the asymptotic theory of subsampling," DES - Working Papers. Statistics and Econometrics. WS 6334, Universidad Carlos III de Madrid. Departamento de Estadística.
    4. Gonzalo, Jesus & Wolf, Michael, 2005. "Subsampling inference in threshold autoregressive models," Journal of Econometrics, Elsevier, vol. 127(2), pages 201-224, August.
    5. Oliver Linton & Esfandiar Maasoumi & Yoon-Jae Whang, 2005. "Consistent Testing for Stochastic Dominance under General Sampling Schemes," The Review of Economic Studies, Review of Economic Studies Ltd, vol. 72(3), pages 735-765.
    6. Paparoditis, Efstathios & Politis, Dimitris N., 2005. "Bootstrap hypothesis testing in regression models," Statistics & Probability Letters, Elsevier, vol. 74(4), pages 356-365, October.
    7. Choi, In, 2005. "Subsampling vector autoregressive tests of linear constraints," Journal of Econometrics, Elsevier, vol. 124(1), pages 55-89, January.
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    Cited by:

    1. Jiarui Liu, 2021. "Sequential Search Models: A Pairwise Maximum Rank Approach," Papers 2104.13865, arXiv.org, revised Nov 2021.

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