A mixed-frequency approach for exchange rates predictions

Bahadur's stochastic comparison of asymptotic relative efficiency of combining infinitely independent tests in case of log-logistic distribution is proposed. Six free-distribution combination producers namely; Fisher, logistic, sum of p-values, inverse normal, Tippett's method and maximum of p-values were studied. Several comparisons among the six procedures using the exact Bahadur's slopes were obtained. These non-parametric procedures depend on the p-value of the individual tests combined.