The Error-in-Rejection Probability of meta-analytic panel tests

The puzzling Monte Carlo finding that the size distortion of meta-analytic panel unit root tests increases with the number of panel series is explained as the cumulative effect of arbitrarily small size distortions in the time series tests composing the panel test.

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Year of publication:	2008
Authors:	Hanck, Christoph
Published in:	Economics Letters. - Elsevier, ISSN 0165-1765. - Vol. 101.2008, 1, p. 27-30
Publisher:	Elsevier
Keywords:	Panel unit root tests Meta-analysis Error-in-Rejection Probability

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Type of publication:	Article
Source:	RePEc - Research Papers in Economics

Persistent link: https://www.econbiz.de/10005257813