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Testing for Individual Sphericity in Heterogeneous Panels


Broda, Simon (2019). Testing for Individual Sphericity in Heterogeneous Panels. Biometrika:Epub ahead of print.

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.

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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
Language:English
Date:1 January 2019
Deposited On:17 May 2019 12:46
Last Modified:17 May 2019 12:46
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

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