Panel unit root tests by combining dependent P values: a comparative study

DOI10.1155/2011/617652MaRDI QIDQ642446zbMATH OpenOpenAlexWikidataFDO

Authors Xuguang Sheng, Jingyun Yang

Publication date 26 October 2011

Published in Journal of Probability and Statistics (Search for Journal in Brave)

Copyright license Creative Commons Attribution 4.0 International

Full work available at URL https://doi.org/10.1155/2011/617652

Mathematics Subject Classification ID

Time series, auto-correlation, regression, etc. in statistics (GARCH) (62M10) Non-Markovian processes: hypothesis testing (62M07)

Recommendations

• Combining \(p\)-values in non-stationary panels
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• A Panel Unit Root Test with Good Power in Small Samples
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Cites work

• scientific article; zbMATH DE number 4090552 (Why is no real title available?)
• scientific article; zbMATH DE number 3074510 (Why is no real title available?)
• A Note on Combining Dependent Tests of Significance
• A PANIC attack on unit roots and cointegration.
• A systematic comparison of methods for combining p-values from independent tests
• An improved Bonferroni procedure for multiple tests of significance
• Bootstrap unit root tests in panels with cross-sectional dependency
• Dynamic panel estimation and homogeneity testing under cross section dependence
• Testing for a unit root in panels with dynamic factors
• Unit Root Tests in ARMA Models with Data-Dependent Methods for the Selection of the Truncation Lag

Cited in

(2)

• A Method for Testing Additivity in Unreplicated Two‐Way Layouts Based on Combining Multiple Interaction Tests
• Combining \(p\)-values in non-stationary panels

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