Autor(en): | Hanck, Christoph |
Titel: | The error-in-rejection probability of meta-analytic panel tests |
Sprache (ISO): | en |
Zusammenfassung: | 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. |
Schlagwörter: | Error-in-rejection probability Meta-analysis Panel unit root tests |
URI: | http://hdl.handle.net/2003/23127 http://dx.doi.org/10.17877/DE290R-86 |
Erscheinungsdatum: | 2006-12-15T11:17:40Z |
Enthalten in den Sammlungen: | Sonderforschungsbereich (SFB) 475 |
Dateien zu dieser Ressource:
Datei | Beschreibung | Größe | Format | |
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tr46-06.pdf | DNB | 218.49 kB | Adobe PDF | Öffnen/Anzeigen |
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