Please use this identifier to cite or link to this item: http://hdl.handle.net/10419/22690
Authors: 
Hanck, Christoph
Year of Publication: 
2006
Series/Report no.: 
Technical Report / Universität Dortmund, SFB 475 Komplexitätsreduktion in Multivariaten Datenstrukturen 2006,46
Abstract: 
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.
Subjects: 
Panel Unit Root Tests
Meta-Analysis
Error-in-Rejection Probability
Document Type: 
Working Paper

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