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Combination of "Combinations of P-values

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  • Xuguang Sheng
  • Lan Cheng

Abstract

We investigate the impact of an uncertain number of false individual null hypotheses on commonly used p-value combination methods and find that the performance of these methods varies substantially under such uncertainty. These variations yield conflicting results in meta-analysis, motivating the development of a new, reconciling test. We consequently develop a combination of "combinations of p-values" (CCP) test that maintains good power properties across such uncertainty. We base the CCP test on a simple union of rejections decision rule that exploits the similarity between any two p-value combination methods. Monte Carlo simulations show that our test controls size and closely tracks the power of the best individual methods.

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File URL: http://www.american.edu/cas/economics/research/upload/2012-11.pdf
File Function: First version, 2012
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Bibliographic Info

Paper provided by American University, Department of Economics in its series Working Papers with number 2012-11.

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Date of creation: 2012
Date of revision:
Handle: RePEc:amu:wpaper:2012-11

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Web page: http://www.american.edu/cas/economics/

Related research

Keywords: Combination methods; Hypothesis testing; p value; Union of rejections;

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  1. Wu, Jyh-Lin & Wu, Shaowen, 2001. "Is Purchasing Power Parity Overvalued?," Journal of Money, Credit and Banking, Blackwell Publishing, vol. 33(3), pages 804-12, August.
  2. Xuguang Sheng & Jingyun Yang, 2013. "Truncated Product Methods for Panel Unit Root Tests," Working Papers 2013-004, The George Washington University, Department of Economics, Research Program on Forecasting.
  3. Pesaran, M.H., 2003. "A Simple Panel Unit Root Test in the Presence of Cross Section Dependence," Cambridge Working Papers in Economics 0346, Faculty of Economics, University of Cambridge.
  4. Choi, In, 2001. "Unit root tests for panel data," Journal of International Money and Finance, Elsevier, vol. 20(2), pages 249-272, April.
  5. Claude Lopez, 2004. "Evidence of Purchasing Power Parity for the Floating Regime Period," University of Cincinnati, Economics Working Papers Series 2004-01, University of Cincinnati, Department of Economics, revised Mar 2006.
  6. repec:taf:jnlbes:v:30:y:2012:i:2:p:242-255 is not listed on IDEAS
  7. Loughin, Thomas M., 2004. "A systematic comparison of methods for combining p-values from independent tests," Computational Statistics & Data Analysis, Elsevier, vol. 47(3), pages 467-485, October.
  8. Ana-Maria Dumitru & Giovanni Urga, 2011. "Identifying Jumps in Financial Assets: A Comparison Between Nonparametric Jump Tests," Journal of Business & Economic Statistics, Taylor & Francis Journals, vol. 30(2), pages 242-255, October.
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