Fisher-type Tests for Combining p-Values

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Description

A function implementing the first-generation combination procedures proposed by Maddala and Wu (1999) and Choi (2001).

Usage

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 pfisher(object, method = c("invchisq", "invnorm", "invlogit"), 
            N = NULL, exo = c("intercept", "none", "trend"), 
            lags = NULL)

Arguments

object

A data frame.

method

One of "invchisq", "invnorm", "invlogit".

N

... .

exo

One of "intercept", "none", "trend".

lags

The number of lags for the unit root tests.

Value

The function returns a list of class "htest" containing:

statistic

the test statistic.

parameter

the number of combined tests (p-values).

alternative

a character string describing the alternative hypothesis.

method

a character string indicating the type of combination test.

data.name

a character string giving the name of the vector of p-values.

p.value

the p-value of the combination test.

References

Choi I (2001). Unit Root Tests for Panel Data. Journal of International Money and Finance, 20, 249–272.

Fisher RA (1932). Statistical Methods for Research Workers, 4th ed. Edinburgh: Oliver & Boyd.

Maddala GS, Wu S (1998). A Comparative Study of Unit Root Tests With Panel Data and a New Simple Test. Oxford Bulletin of Economics and Statistics, Special Issue, 631–652.

Examples

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## compare Stata xtunitroot

data("G7")
y <- data.frame(split(G7$lrxrate, G7$country))

pfisher(y, exo = "intercept", lags = 10, N = Inf, method = "invchisq")
pfisher(y, exo = "intercept", lags = 10, N = Inf, method = "invnorm")
pfisher(y, exo = "intercept", lags = 10, N = Inf, method = "invlogit")