Hanck, Christoph2006-12-152006-12-152006-12-15http://hdl.handle.net/2003/2312710.17877/DE290R-86Meta-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.enError-in-rejection probabilityMeta-analysisPanel unit root tests004report