Hi guys,what are the most commonly used tests for hypotheses testing in finance? I am only interested in parametric tests, where some sort of equivalence shall be tested.CheersSteilermeier

Depends entirely on what you are checking/testing for. What is it precisely you are looking at?

Hey Hansi,I have got no particular test in mind since I don't have a data set. I am writing on a piece of work which deals with equivalence testing. That means that against common practice the equivalence is not in the null hypothesis but in the alternative. Which is from the statistical point of view the more correct way to establish equivalence of two parameters because only the rejection is a statistical proof. So I am looking for tests in the finance world on which I can apply my meta framework of equivalence testing. To make my work at least a little relevant for practical problems I wanted to check first which tests are commonly used in finance. Let me give you some suggestions of mine:- (Augmented) Dickey?Fuller test (check for random walk, probably won't get rejected if H_1: random walk)- t-test, F-test, Durbin-Watson test, Breusch?Pagan test, White test (check regression model of CAPM)- Jarque?Bera test (check normality assumption, probably won't get rejected if H_1: normality)My practical experience is more of the "front office - don't bother me with too much math - style", so I can't really say, whether anyone uses these tests. Can you? Any more suggestions regarding other tests of interest (parametric, two-sided)?Thanks for the help!Steilermeier

chi-squared, kolmogorov, johanssen

Hey Quantmeh,you mean chi-squared goodness of fit, right? So goodness of fit and cointegration is key. What about those I mentioned? Are they of any particular relevance?CheersSteilermeier

Hi,what about literature hints? Can you give any? What about Masanobu Taniguchi - Optimal Statistical Inference in Financial Engineering?Is it any good?CheersSteilermeier

Did you try the search function here for tests / statistical test etc? Should turn up some real problems people have been dealing with.

Here is a list of hypothesis testing tests that I found very useful.I use them to analyze the significance of pnls and returns.hypothesis testing

QuoteOriginally posted by: Steilermeier What about those I mentioned? Are they of any particular relevance?yes, they are. ADF is used a lot, for instance