Tests of Neutrality
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Are “Market Neutral” Hedge Funds Really Market Neutral?
Using a variety of different definitions of “neutrality,” this study presents significant evidence against the neutrality to market risk of hedge funds in a range of style categories. I generalize standard definitions of “market neutrality,” and propose five different neutrality concepts. I suggest statistical tests for each neutrality concept, and apply these tests to a database of monthly ret...
متن کاملProperties of neutrality tests based on allele frequency spectrum
One of the main necessities for population geneticists is the availability of statistical tools that enable to accept or reject the neutral Wright-Fisher model with high power. A number of statistical tests have been developed to detect specific deviations from the null frequency spectrum in different directions (i.e., Tajima’s D, Fu and Li’s F and D test, Fay and Wu’s H). Recently, a general f...
متن کاملPanel Cointegration and the Neutrality of Money
Most econometric methods for testing the proposition of long-run monetary neutrality rely on the assumption that money and real output do not cointegrate. This paper argues that these results can be attributed in part to the low power of univariate tests, and that a violation of the noncointegration assumption is likely to result in a nonrejection of the neutrality proposition. To alleviate thi...
متن کاملStatistical power analysis of neutrality tests under demographic expansions, contractions and bottlenecks with recombination.
Several tests have been proposed to detect departures of nucleotide variability patterns from neutral expectations. However, very different kinds of evolutionary processes, such as selective events or demographic changes, can produce similar deviations from these tests, thus making interpretation difficult when a significant departure of neutrality is detected. Here we study the effects of demo...
متن کاملNeutrality tests using DNA polymorphism from multiple samples.
The polymorphism of a gene or a locus is studied with increasing frequency by multiple laboratories or the same group at different times. Such practice results in polymorphism being revealed by different samples at different regions of the locus. Tests of neutrality have been widely conducted for polymorphism data but commonly used statistical tests cannot be applied directly to such data. This...
متن کاملNeutrality tests for sequences with missing data.
Missing data are common in DNA sequences obtained through high-throughput sequencing. Furthermore, samples of low quality or problems in the experimental protocol often cause a loss of data even with traditional sequencing technologies. Here we propose modified estimators of variability and neutrality tests that can be naturally applied to sequences with missing data, without the need to remove...
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