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

The empirical saddlepoint method is used to develop a testing procedure to check for serial correlation in panel (longitudinal) time series data. Unlike some previous methods it is not necessary to assume normal errors, equal variances or equal series length.

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Bibliographic Details
Published in:Statistics & probability letters 2008-12, Vol.78 (17), p.2876-2882
Main Authors: Perera, D.I., Peiris, M.S., Robinson, J., Weber, N.C.
Format: Article
Language:English
Subjects:
Exact sciences and technology
General topics
Inference from stochastic processes
time series analysis
Linear inference, regression
Mathematics
Probability and statistics
Probability theory and stochastic processes
Sciences and techniques of general use
Statistics
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Description
Summary:The empirical saddlepoint method is used to develop a testing procedure to check for serial correlation in panel (longitudinal) time series data. Unlike some previous methods it is not necessary to assume normal errors, equal variances or equal series length.
ISSN:0167-7152
1879-2103
DOI:10.1016/j.spl.2008.04.010