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Panel Unit Root Tests by Combining Dependent P Values : A Comparative Study
Joint Authors
Source
Journal of Probability and Statistics
Issue
Vol. 2011, Issue 2011 (31 Dec. 2011), pp.1-17, 17 p.
Publisher
Hindawi Publishing Corporation
Publication Date
2011-10-25
Country of Publication
Egypt
No. of Pages
17
Main Subjects
Abstract EN
We conduct a systematic comparison of the performance of four commonly used P value combination methods applied to panel unit root tests: the original Fisher test, the modified inverse normal method, Simes test, and the modified truncated product method (TPM).
Our simulation results show that under cross-section dependence the original Fisher test is severely oversized, but the other three tests exhibit good size properties.
Simes test is powerful when the total evidence against the joint null hypothesis is concentrated in one or very few of the tests being combined, but the modified inverse normal method and the modified TPM have good performance when evidence against the joint null is spread among more than a small fraction of the panel units.
These differences are further illustrated through one empirical example on testing purchasing power parity using a panel of OECD quarterly real exchange rates.
American Psychological Association (APA)
Sheng, Xuguang& Yang, Jingyun. 2011. Panel Unit Root Tests by Combining Dependent P Values : A Comparative Study. Journal of Probability and Statistics،Vol. 2011, no. 2011, pp.1-17.
https://search.emarefa.net/detail/BIM-485520
Modern Language Association (MLA)
Sheng, Xuguang& Yang, Jingyun. Panel Unit Root Tests by Combining Dependent P Values : A Comparative Study. Journal of Probability and Statistics No. 2011 (2011), pp.1-17.
https://search.emarefa.net/detail/BIM-485520
American Medical Association (AMA)
Sheng, Xuguang& Yang, Jingyun. Panel Unit Root Tests by Combining Dependent P Values : A Comparative Study. Journal of Probability and Statistics. 2011. Vol. 2011, no. 2011, pp.1-17.
https://search.emarefa.net/detail/BIM-485520
Data Type
Journal Articles
Language
English
Notes
Includes bibliographical references
Record ID
BIM-485520