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

DOI10.1080/10629360600569261zbMath1112.62098OpenAlexW2043837165MaRDI QIDQ5485062

John Robinson, D. I. Perera, Neville C. Weber, M. 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

zbMATH Keywords

momentstablescumulantstail probabilityserial correlationautoregressionrepeated measurementssaddlepoint approximationsEdgeworth approximationzero meanpanel time series

Mathematics Subject Classification ID

Related Items (4)

The empirical saddlepoint method applied to testing for serial correlation in panel time series data ⋮ PITMAN MEDAL ⋮ 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

Cites Work

• Unnamed Item
• Unnamed Item
• A Note on Testing for Serial Correlation in Large Number of Small Samples Using Tail Probability Approximations
• On testing for serial correlation in large numbers of small samples
• Saddle point approximation for the distribution of the sum of independent random variables
• Analysis of short time series with an over-dispersion model
• Modelling panels of intercorrelated autoregressive time series
• Saddlepoint Approximations in Statistics

This page was built for publication: Saddlepoint approximation methods for testing of serial correlation in panel time series data