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

Shelton Peiris ()

Statistical Papers, 2014, vol. 55, issue 2, 513-523

Abstract: It is known that the analysis of short panel time series data is very important in many practical problems. This paper calculates the exact moments up to order 4 under the null hypothesis of no serial correlation when there are many independent replications of size 3. We further calculate the tail probabilities under the null hypothesis using the Edgeworth approximation for $$n=3, 4$$ and $$5,$$ when the structure of the pdf (probability density function) of the test statistic is in essence different. Finally, we compare the three types of tail probabilities, namely, the Edgeworth approximation, the normal approximation and the exact probabilities through a large scale simulation study. Copyright Springer-Verlag Berlin Heidelberg 2014

Keywords: Small samples; Serial correlation; Estimation; Repeated measurements; Panel data; Edgeworth expansion; Tail probability; Autoregression; Cumulants; Moments; Time series; Inference (search for similar items in EconPapers)
Date: 2014
References: View references in EconPapers View complete reference list from CitEc
Citations:

Downloads: (external link)
http://hdl.handle.net/10.1007/s00362-012-0495-5 (text/html)
Access to full text is restricted to subscribers.

Related works:
This item may be available elsewhere in EconPapers: Search for items with the same title.

Export reference: BibTeX RIS (EndNote, ProCite, RefMan) HTML/Text

Persistent link: https://EconPapers.repec.org/RePEc:spr:stpapr:v:55:y:2014:i:2:p:513-523

Ordering information: This journal article can be ordered from
http://www.springer. ... business/journal/362

DOI: 10.1007/s00362-012-0495-5

Access Statistics for this article

Statistical Papers is currently edited by C. Müller, W. Krämer and W.G. Müller

More articles in Statistical Papers from Springer
Bibliographic data for series maintained by Sonal Shukla () and Springer Nature Abstracting and Indexing ().