Testing the null hypothesis of zero serial correlation in short panel time series: a comparison of tail probabilities

DOI10.1007/S00362-012-0495-5zbMATH Open1297.62194OpenAlexW1986237203MaRDI QIDQ744774FDOQ744774

Authors: Shelton Peiris 

Publication date: 26 September 2014

Published in: Statistical Papers (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1007/s00362-012-0495-5

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zbMATH Keywords

momentsserial correlationpanel datatail probabilitytime seriesEdgeworth expansionestimationrepeated measurementsautoregressioninferencecumulantssmall samples

Mathematics Subject Classification ID

Parametric hypothesis testing (62F03) Time series, auto-correlation, regression, etc. in statistics (GARCH) (62M10)

Cites Work

• Note on the bias in the estimation of the serial correlation coefficient of AR(1) processes.
• On testing for serial correlation in large numbers of small samples
• Unbalanced panel data: a survey
• Title not available (Why is that?)
• Modelling panels of intercorrelated autoregressive time series
• Edgeworth and saddlepoint approximations in the first-order noncircular autoregression
• Rank correlation and product-moment correlation
• Consistency and asymptotic unbiasedness of \(S^ 2\) in the serially correlated error components regression model for panel data
• 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
• Saddlepoint approximation methods for testing of serial correlation in panel time series data
• Testing for serial correlation in fixed-effects panel data models
• State space mixed models for longitudinal observations with binary and binomial responses
• The empirical saddlepoint method applied to testing for serial correlation in panel time series data

Cited In (2)

• Zero finite-order serial correlation test in a partially linear single-index model
• A Note on Testing for Serial Correlation in Large Number of Small Samples Using Tail Probability Approximations

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