The error-in-rejection probability of meta-analytic panel tests
| dc.contributor.author | Hanck, Christoph | |
| dc.date.accessioned | 2006-12-15T11:17:40Z | |
| dc.date.available | 2006-12-15T11:17:40Z | |
| dc.date.issued | 2006-12-15T11:17:40Z | |
| dc.description.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. | en |
| dc.format.extent | 223735 bytes | |
| dc.format.mimetype | application/pdf | |
| dc.identifier.uri | http://hdl.handle.net/2003/23127 | |
| dc.identifier.uri | http://dx.doi.org/10.17877/DE290R-86 | |
| dc.language.iso | en | |
| dc.subject | Error-in-rejection probability | en |
| dc.subject | Meta-analysis | en |
| dc.subject | Panel unit root tests | en |
| dc.subject.ddc | 004 | |
| dc.title | The error-in-rejection probability of meta-analytic panel tests | en |
| dc.type | Text | |
| dc.type.publicationtype | report | en |
| dcterms.accessRights | open access |