Testing for individual sphericity in heterogeneous panels
| Authors |
|
| Publication date |
09-2019
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| Journal |
Biometrika
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| Volume | Issue number |
106 | 3
|
| Pages (from-to) |
740-747
|
| Number of pages |
8
|
| Organisations |
-
Faculty of Economics and Business (FEB)
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Faculty of Economics and Business (FEB) - Amsterdam School of Economics Research Institute (ASE-RI)
|
| 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.
|
| Document type |
Article
|
| Note |
With supplementary file
|
| Language |
English
|
| Published at |
https://doi.org/10.1093/biomet/asz018
|
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