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

D.I. Perera, M.S. Peiris, J. Robinson and N.C. Weber

Statistics & Probability Letters, 2008, vol. 78, issue 17, 2876-2882

Abstract: 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.

Date: 2008
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