Saddlepoint approximation methods for testing of serial correlation in panel time series data

DOI10.1080/10629360600569261zbMATH Open1112.62098OpenAlexW2043837165MaRDI QIDQ5485062FDOQ5485062

Authors: D. I. Perera, John Robinson, Neville Weber, Shelton Peiris 

Publication date: 28 August 2006

Published in: Journal of Statistical Computation and Simulation (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1080/10629360600569261

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zbMATH Keywords

momentstablesserial correlationtail probabilityrepeated measurementsautoregressionsaddlepoint approximationscumulantsEdgeworth approximationzero meanpanel time series

Mathematics Subject Classification ID

Time series, auto-correlation, regression, etc. in statistics (GARCH) (62M10) Asymptotic distribution theory in statistics (62E20) Approximations to statistical distributions (nonasymptotic) (62E17)

Cites Work

• Title not available (Why is that?)
• Saddlepoint Approximations in Statistics
• Saddle point approximation for the distribution of the sum of independent random variables
• Mathematical methods of statistics.
• On testing for serial correlation in large numbers of small samples
• Modelling panels of intercorrelated autoregressive time series
• A Note on Testing for Serial Correlation in Large Number of Small Samples Using Tail Probability Approximations
• Analysis of short time series with an over-dispersion model

Cited In (8)

• A Note on Testing for Serial Correlation in Large Number of Small Samples Using Tail Probability Approximations
• Testing the null hypothesis of zero serial correlation in short panel time series: a comparison of tail probabilities
• A Monte Carlo study of bias corrections for panel probit models
• 2008 Pitman Medal
• The empirical saddlepoint method applied to testing for serial correlation in panel time series data
• Saddlepoint approximations for short and long memory time series: a frequency domain approach
• Nonparametric Estimation and Testing in Panels of Intercorrelated Time Series
• Saddlepoint and estimated saddlepoint approximations for optimal unit root tests

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