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An adaptive truncated product method for combining dependent p-values

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  • Sheng, Xuguang
  • Yang, Jingyun

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.

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Bibliographic Info

Article provided by Elsevier in its journal Economics Letters.

Volume (Year): 119 (2013)
Issue (Month): 2 ()
Pages: 180-182

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Handle: RePEc:eee:ecolet:v:119:y:2013:i:2:p:180-182

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Web page: http://www.elsevier.com/locate/ecolet

Related research

Keywords: Adaptive; Panel cointegration; p-value; Truncated product method;

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  1. Chang, Yoosoon & Park, Joon Y. & Song, Kevin, 2006. "Bootstrapping cointegrating regressions," Journal of Econometrics, Elsevier, vol. 133(2), pages 703-739, August.
  2. Youngchao Ge & Sandrine Dudoit & Terence Speed, 2003. "Resampling-based multiple testing for microarray data analysis," TEST: An Official Journal of the Spanish Society of Statistics and Operations Research, Springer, vol. 12(1), pages 1-77, June.
  3. Serena Ng & Pierre Perron, 1997. "Lag Length Selection and the Construction of Unit Root Tests with Good Size and Power," Boston College Working Papers in Economics 369, Boston College Department of Economics, revised 01 Sep 2000.
  4. Christoph Hanck, 2009. "Cross-sectional correlation robust tests for panel cointegration," Journal of Applied Statistics, Taylor & Francis Journals, vol. 36(7), pages 817-833.
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