Combination of Tests for Cointegration in Cross‐Correlated Panels
将Cheng和Sheng的P值组合法扩展到多于两个检验的组合，用于交叉相关面板的协整检验。蒙特卡洛实验表明，考虑面板配置不确定性时，多检验组合能最小化功效损失，并通过国际利率联动实例验证其有效性。
Abstract In this paper, Cheng and Sheng's (2017) combination of ‘combinations of P ‐values’ (CCP) is extended to a combination of more than two tests and applied for cointegration testing in cross‐correlated panels. In a Monte Carlo experiment, power and size of the different combinations of combinations are investigated. If uncertainty about the panel configuration is taken into account, the results indicate that a multi‐test combination can minimize power losses. Furthermore, the usefulness of the combinations studied is illustrated by an application to international interest rate linkage. Cross‐sectional dependencies in both the simulation and the empirical studies are accounted for by using the block bootstrap.