Combination of "Combinations of P-values
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.
Please report citation or reference errors to , or , if you are the registered author of the cited work, log in to your RePEc Author Service profile, click on "citations" and make appropriate adjustments.:
- 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.
- David I. Harvey & Stephen J. Leybourne & A. M. Robert Taylor, 2008.
"Testing for unit roots and the impact of quadratic trends, with an application to relative primary commodity prices,"
08/04, University of Nottingham, Granger Centre for Time Series Econometrics.
- David I. Harvey & Stephen J. Leybourne & A. M. Robert Taylor, 2011. "Testing for Unit Roots and the Impact of Quadratic Trends, with an Application to Relative Primary Commodity Prices," Econometric Reviews, Taylor & Francis Journals, vol. 30(5), pages 514-547, October.
- 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.
- M. Hashem Pesaran, 2007. "A simple panel unit root test in the presence of cross-section dependence," Journal of Applied Econometrics, John Wiley & Sons, Ltd., vol. 22(2), pages 265-312.
- Xuguang Sheng & Jingyun Yang, 2013.
"Truncated Product Methods for Panel Unit Root Tests,"
Oxford Bulletin of Economics and Statistics,
Department of Economics, University of Oxford, vol. 75(4), pages 624-636, 08.
- 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.
- repec:taf:jnlbes:v:30:y:2012:i:2:p:242-255 is not listed on IDEAS
- Choi, In, 2001. "Unit root tests for panel data," Journal of International Money and Finance, Elsevier, vol. 20(2), pages 249-272, April.
- David I. Harvey & Stephen J. Leybourne & A. M. Robert Taylor, 2007.
"Unit root testing in practice: dealing with uncertainty over the trend and initial condition,"
07/03, University of Nottingham, Granger Centre for Time Series Econometrics.
- Harvey, David I. & Leybourne, Stephen J. & Taylor, A.M. Robert, 2009. "Unit Root Testing In Practice: Dealing With Uncertainty Over The Trend And Initial Condition," Econometric Theory, Cambridge University Press, vol. 25(03), pages 587-636, June.
- 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.
- Lopez, Claude, 2008.
"Evidence of purchasing power parity for the floating regime period,"
Journal of International Money and Finance,
Elsevier, vol. 27(1), pages 156-164, February.
- 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.
- 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.
When requesting a correction, please mention this item's handle: RePEc:amu:wpaper:2012-11. See general information about how to correct material in RePEc.
For technical questions regarding this item, or to correct its authors, title, abstract, bibliographic or download information, contact: (Thomas Meal)
If references are entirely missing, you can add them using this form.