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Total Posts: 46
Joined: May 2006
Posted: 2019-12-17 16:33
I have dependent correlation coefficients , and (with equal sample sizes for stationary factor returns ).

I want to test whether is neither equal to nor to .

In other words, how can I test the "combined" null hypothesis , i.e. where the alternate hypothesis is ?

PS I could test the individual hypotheses and using the T-statistic on the raw coefficients (or their Fisher-z transform) with estimated via randomizing or bootstrapping.

PPS I am interested in association in the joint left tail of and and (defined as where ) so is Spearman's rank correlation in the joint left tail.
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