Simes' test of intersection of individual hypothesis tests (\insertCiteSIMES:86;textualplm) applied to panel unit root tests as suggested by \insertCiteHANCK:13;textualplm.
phansitest(object, alpha = 0.05) ## S3 method for class 'phansitest' print(x, cutoff = 10L, ...)
either a numeric containing p-values of individual unit root
test results (does not need to be sorted) or a suitable
numeric, the pre-specified significance level (defaults to
an object of class
integer, cutoff value for printing of enumeration of individuals with rejected individual H0, for print method only,
further arguments (currently not used).
Simes' approach to testing is combining p-values from single hypothesis tests with a global (intersected) hypothesis. \insertCiteHANCK:13;textualplm mentions it can be applied to any panel unit root test which yield a p-value for each individual series. The test is robust versus general patterns of cross-sectional dependence.
Further, this approach allows to discriminate between individuals for which
the individual H0 (unit root present for individual series) is rejected/is
not rejected by Hommel's procedure (\insertCiteHOMM:88;textualplm) for
family-wise error rate control (FWER) at pre-specified significance level
alpha via argument
alpha (defaulting to
0.05), i.e., it controls for the
multiplicity in testing.
phansitest takes as main input
object either a plain numeric
containing p-values of individual tests or a
purtest object which holds
a suitable pre-computed panel unit root test (one that produces p-values per
The function's return value (see section Value) is a list with detailed evaluation of the applied Simes test.
phansitest, an object of class
c("phansitest", "list") which i
s a list with the elements:
id: integer, the identifier of the individual (integer sequence referring to
position in input),
name: character, name of the input's individual (if it has a name,
otherwise "1", "2", "3", ...),
p: numeric, p-values as input (either the numeric or extracted from
the purtest object),
p.hommel: numeric, p-values after Hommel's transformation,
rejected: logical, indicating for which individual the individual null
hypothesis is rejected (
FALSE) (after controlling
rejected.no: integer, giving the total number of rejected individual series,
alpha: numeric, the input
### input is numeric (p-values) #### example from Hanck (2013), Table 11 (left side) pvals <- c(0.0001,0.0001,0.0001,0.0001,0.0001,0.0001,0.0050,0.0050,0.0050, 0.0050,0.0175,0.0175,0.0200,0.0250,0.0400,0.0500,0.0575,0.2375,0.2475) countries <- c("Argentina","Sweden","Norway","Mexico","Italy","Finland","France", "Germany","Belgium","U.K.","Brazil","Australia","Netherlands", "Portugal","Canada", "Spain","Denmark","Switzerland","Japan") names(pvals) <- countries h <- phansitest(pvals) print(h) # (explicitly) prints test's evaluation print(h, cutoff = 3L) # print only first 3 rejected ids h$rejected # logical indicating the individuals with rejected individual H0 ### input is a (suitable) purtest object data("Grunfeld", package = "plm") y <- data.frame(split(Grunfeld$inv, Grunfeld$firm)) obj <- purtest(y, pmax = 4, exo = "intercept", test = "madwu") phansitest(obj)
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