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

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

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.

Suggested Citation

  • Perera, D.I. & Peiris, M.S. & Robinson, J. & Weber, N.C., 2008. "The empirical saddlepoint method applied to testing for serial correlation in panel time series data," Statistics & Probability Letters, Elsevier, vol. 78(17), pages 2876-2882, December.
    • Handle: RePEc:eee:stapro:v:78:y:2008:i:17:p:2876-2882
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    References listed on IDEAS

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    1. Nerlove, Marc, 1971. "Further Evidence on the Estimation of Dynamic Economic Relations from a Time Series of Cross Sections," Econometrica, Econometric Society, vol. 39(2), pages 359-382, March.
    2. A. Azzalini, 1981. "Replicated Observations Of Low Order Autoregressive Time Series," Journal of Time Series Analysis, Wiley Blackwell, vol. 2(2), pages 63-70, March.
    3. S. Huzurbazar & Aparna V. Huzurbazar, 1999. "Survival and Hazard Functions for Progressive Diseases Using Saddlepoint Approximations," Biometrics, The International Biometric Society, vol. 55(1), pages 198-203, March.
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    Cited by:

    1. Shelton Peiris, 2014. "Testing the null hypothesis of zero serial correlation in short panel time series: a comparison of tail probabilities," Statistical Papers, Springer, vol. 55(2), pages 513-523, May.

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