An adaptive truncated product method for combining dependent p-values
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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- Chang, Yoosoon & Park, Joon & Song, Kevin, 2002.
"Bootstrapping Cointegrating Regressions,"
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- 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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