Abstract
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.
Original language | English |
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Pages (from-to) | 27-30 |
Number of pages | 4 |
Journal | Economics Letters |
Volume | 101 |
DOIs | |
Publication status | Published - 1 Jan 2008 |