Header

UZH-Logo

Maintenance Infos

Testing for Individual Sphericity in Heterogeneous Panels


Broda, Simon A (2019). Testing for Individual Sphericity in Heterogeneous Panels. Biometrika, 106(3):740-747.

Abstract

This manuscript considers locally best invariant tests for sphericity in heterogeneous panels. A new integral representation for the characteristic function of the test statistic under the null is presented, along with an algorithm for inverting it to obtain the distribution function. A saddlepoint approximation to the null distribution addresses the need to quickly compute approximate p-values in empirical work. The approximation shows substantial improvements over the normal approximation when the cross-sectional dimension is small.

Abstract

This manuscript considers locally best invariant tests for sphericity in heterogeneous panels. A new integral representation for the characteristic function of the test statistic under the null is presented, along with an algorithm for inverting it to obtain the distribution function. A saddlepoint approximation to the null distribution addresses the need to quickly compute approximate p-values in empirical work. The approximation shows substantial improvements over the normal approximation when the cross-sectional dimension is small.

Statistics

Citations

Altmetrics

Additional indexing

Item Type:Journal Article, refereed, original work
Communities & Collections:03 Faculty of Economics > Department of Banking and Finance
Dewey Decimal Classification:330 Economics
Scopus Subject Areas:Physical Sciences > Statistics and Probability
Physical Sciences > General Mathematics
Life Sciences > Agricultural and Biological Sciences (miscellaneous)
Life Sciences > General Agricultural and Biological Sciences
Social Sciences & Humanities > Statistics, Probability and Uncertainty
Physical Sciences > Applied Mathematics
Language:English
Date:1 September 2019
Deposited On:17 May 2019 12:46
Last Modified:26 May 2020 19:53
Publisher:Oxford University Press
ISSN:0006-3444
OA Status:Closed
Publisher DOI:https://doi.org/10.1093/biomet/asz018
Related URLs:https://academic.oup.com/biomet/advance-article/doi/10.1093/biomet/asz018/5488683 (Publisher)
Other Identification Number:merlin-id:17163

Download

Full text not available from this repository.
View at publisher

Get full-text in a library