Extended MinP Tests for Global and Multiple testing

TL;DR

This paper introduces an extended combination test that merges quadratic and minimum p-value based tests, enhancing the power and flexibility of multiple hypothesis testing in empirical economic studies.

Contribution

It proposes a novel combination test that integrates $F$-tests and Wald tests with minimum p-value procedures, improving global and individual hypothesis assessment.

Findings

Enhanced power for multiple hypothesis testing.

Retains benefits of stepdown procedures.

Applicable to empirical economic research.

Abstract

Empirical economic studies often involve multiple propositions or hypotheses, with researchers aiming to assess both the collective and individual evidence against these propositions or hypotheses. To rigorously assess this evidence, practitioners frequently employ tests with quadratic test statistics, such as $F$-tests and Wald tests, or tests based on minimum/maximum type test statistics. This paper introduces a combination test that merges these two classes of tests using the minimum $p$-value principle. The proposed test capitalizes on the global power advantages of both constituent tests while retaining the benefits of the stepdown procedure from minimum/maximum type tests.