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

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

Review text

Summary: 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.

Recommendations

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Cites work

• A Note on Combining Dependent Tests of Significance
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Cited in

(3)

• Combining p-values in non-stationary panels
• A Method for Testing Additivity in Unreplicated Two‐Way Layouts Based on Combining Multiple Interaction Tests
• A comparative study on p  value combination tests for unit roots in multiple time series

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