Authors: Hanck, Christoph
Title: The error-in-rejection probability of meta-analytic panel tests
Language (ISO): en
Abstract: Meta-analytic panel unit root tests such as Fisher’s Chi^2 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.
Subject Headings: Error-in-rejection probability
Panel unit root tests
Issue Date: 2006-12-15T11:17:40Z
Appears in Collections:Sonderforschungsbereich (SFB) 475

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