Arbeitspapier

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

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.

Language
Englisch

Bibliographic citation
Series: Technical Report ; No. 2006,46

Subject
Panel Unit Root Tests
Meta-Analysis
Error-in-Rejection Probability

Event
Geistige Schöpfung
(who)
Hanck, Christoph
Event
Veröffentlichung
(who)
Universität Dortmund, Sonderforschungsbereich 475 - Komplexitätsreduktion in Multivariaten Datenstrukturen
(where)
Dortmund
(when)
2006

Handle
Last update
10.03.2025, 11:43 AM CET

Data provider

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Object type

  • Arbeitspapier

Associated

  • Hanck, Christoph
  • Universität Dortmund, Sonderforschungsbereich 475 - Komplexitätsreduktion in Multivariaten Datenstrukturen

Time of origin

  • 2006

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