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Contribution Details
| Type | Journal Article |
| Scope | Discipline-based scholarship |
| Title | Testing for Individual Sphericity in Heterogeneous Panels |
| Organization Unit | |
| Authors |
|
| Item Subtype | Original Work |
| Refereed | Yes |
| Status | Published in final form |
| Language |
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| Journal Title | Biometrika |
| Publisher | Oxford University Press |
| Geographical Reach | international |
| ISSN | 0006-3444 |
| Volume | 106 |
| Number | 3 |
| Page Range | 740 - 747 |
| Date | 2019 |
| Abstract Text | 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. |
| Related URLs | |
| Digital Object Identifier | 10.1093/biomet/asz018 |
| Other Identification Number | merlin-id:17163 |
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