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

DOI10.1007/S00362-012-0495-5MaRDI QIDQ744774zbMATH OpenOpenAlexFDO

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

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)

Recommendations

• A Note on Testing for Serial Correlation in Large Number of Small Samples Using Tail Probability Approximations
• Saddlepoint approximation methods for testing of serial correlation in panel time series data
• Testing error serial correlation in fixed effects nonparametric panel data models
• Testing serial correlation in semiparametric panel data models
• Testing for serial correlation in fixed-effects panel data models

Cites work

• scientific article; zbMATH DE number 50118 (Why is no real title available?)
• 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
• Consistency and asymptotic unbiasedness of \(S^ 2\) in the serially correlated error components regression model for panel data
• Edgeworth and saddlepoint approximations in the first-order noncircular autoregression
• Modelling panels of intercorrelated autoregressive time series
• 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
• Rank correlation and product-moment correlation
• Saddlepoint approximation methods for testing of serial correlation in panel time series data
• State space mixed models for longitudinal observations with binary and binomial responses
• Testing for serial correlation in fixed-effects panel data models
• The empirical saddlepoint method applied to testing for serial correlation in panel time series data
• Unbalanced panel data: a survey

Cited in

(2)

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

This page was built for publication: Testing the null hypothesis of zero serial correlation in short panel time series: a comparison of tail probabilities

Report a bug (only for logged in users!)Click here to report a bug for this page (MaRDI item Q744774)