Resource title

The Error-in-Rejection Probability of Meta-Analytic Panel Tests

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Resource description

Meta-analytic panel unit root tests such as Fisher?s X2 test, which consist of pooling the p-values of time series unit root tests, are widely applied in practice. Recently, several Monte Carlo studies have found these tests? Error-in-Rejection Probabilities (or, synonymously, size distortion) to increase with the number of series in the panel. We investigate this puzzling finding by modelling the finite sample p-value distribution of the time series tests with local deviations from the asymptotic p-value distribution. We find that the size distortions of the panel tests can be explained as the cumulative effect of small size distortions in the time series tests.

Resource author

Christoph Hanck

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Resource publish date

Resource language

eng

Resource content type

text/html

Resource resource URL

http://hdl.handle.net/10419/22690

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Adapt according to the presented license agreement and reference the original author.