The Error-in-Rejection Probability of meta-analytic panel tests

Christoph Hanck

Economics Letters, 2008, vol. 101, issue 1, 27-30

Abstract: The puzzling Monte Carlo finding that the size distortion of meta-analytic panel unit root tests increases with the number of panel series is explained as the cumulative effect of arbitrarily small size distortions in the time series tests composing the panel test.

Keywords: Panel; unit; root; tests; Meta-analysis; Error-in-Rejection; Probability (search for similar items in EconPapers)
Date: 2008
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Citations: View citations in EconPapers (6)

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