Enhanced power enhancements for testing many moment equalities: Beyond the 2- and∞-norm
Anders Bredahl Kock, David Preinerstorfer
Journal of the American Statistical Association · Volume NaN
DOI: 10.1080/01621459.2025.2591282
Abstract
Tests based on the 2- and ∞ -norm have received considerable attention in high-dimensional testing problems, as they are powerful against dense and sparse alternatives, respectively. The power enhancement principle of Fan et al. (2015) combines these two norms to construct improved tests that are powerful against both types of alternatives. In the context of testing whether a candidate parameter satisfies a large number of moment equalities, we construct tests that harness the strength of all p -norms with p ∈ [ 2 , ∞ ] . As a result, these tests are consistent against strictly more alternatives than any test based on a single p -norm. In particular, our tests are consistent against more alternatives than tests based on the 2- and ∞ -norm, which is what most implementations of the power enhancement principle target. We illustrate our general results in the linear instrumental variable model with many instruments, for which we also provide numerical results and an empirical illustration.
Keywords
High-dimensional testing, power enhancement principle, moment equalities, instrumental variables
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