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Combination of "Combinations of P-values

  • Xuguang Sheng
  • Lan Cheng

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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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
Contact details of provider: Web page: http://www.american.edu/cas/economics/

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  1. 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.
  2. 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.
  3. 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.
  4. 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.
  5. 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.
  6. Choi, In, 2001. "Unit root tests for panel data," Journal of International Money and Finance, Elsevier, vol. 20(2), pages 249-272, April.
  7. repec:taf:jnlbes:v:30:y:2012:i:2:p:242-255 is not listed on IDEAS
  8. 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.
  9. 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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