An adaptive truncated product method for combining dependent p-values

Xuguang Simon Sheng and Jingyun Yang

Economics Letters, 2013, vol. 119, issue 2, 180-182

Abstract: We propose an adaptive truncated product method that facilitates the selection of the truncation point among a set of candidates. To efficiently estimate the distribution of the proposed method when the p-values are correlated, we develop a single-layer bootstrap procedure.

Keywords: Adaptive; Panel cointegration; p-value; Truncated product method (search for similar items in EconPapers)
JEL-codes: C12 C13 (search for similar items in EconPapers)
Date: 2013
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Citations: View citations in EconPapers (1)

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Persistent link: https://EconPapers.repec.org/RePEc:eee:ecolet:v:119:y:2013:i:2:p:180-182

DOI: 10.1016/j.econlet.2013.02.013

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