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

Christoph Hanck

No 2006,46, Technical Reports from Technische Universität Dortmund, Sonderforschungsbereich 475: Komplexitätsreduktion in multivariaten Datenstrukturen

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.

Keywords: Panel Unit Root Tests; Meta-Analysis; Error-in-Rejection Probability (search for similar items in EconPapers)
Date: 2006
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Citations: View citations in EconPapers (4)

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