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Empirically relevant critical values for hypothesis tests: A bootstrap approach. (English) Zbl 0971.62013

Summary: 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 accurately by using the bootstrap. The latter does not depend on unknown population parameters but is likely to yield a test with low power. The critical values used in most Monte Carlo studies of the powers of tests are neither Type I nor size-corrected. They are irrelevant to empirical research.

MSC:

62F40 Bootstrap, jackknife and other resampling methods
62F03 Parametric hypothesis testing
62P20 Applications of statistics to economics
62G10 Nonparametric hypothesis testing
62G09 Nonparametric statistical resampling methods
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