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

DOI10.1007/s00362-012-0495-5zbMath1297.62194OpenAlexW1986237203MaRDI QIDQ744774

M. 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

momentsestimationcumulantstail probabilitytime seriesserial correlationpanel datainferenceEdgeworth expansionautoregressionrepeated measurementssmall samples

Mathematics Subject Classification ID

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

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• Testing for Serial Correlation in Fixed-Effects Panel Data Models
• Note on the bias in the estimation of the serial correlation coefficient of AR(1) processes.

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