Testing for individual sphericity in heterogeneous panels
| Authors | |
|---|---|
| Publication date | 09-2019 |
| Journal | Biometrika |
| Volume | Issue number | 106 | 3 |
| Pages (from-to) | 740-747 |
| Number of pages | 8 |
| Organisations |
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| 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
(Final published version)
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| Permalink to this page | |
