Testing for individual sphericity in heterogeneous panels

• 成果类型: Article
• 署名作者: Broda, Simon A.
• 署名单位: University of Zurich
• 刊物名称: BIOMETRIKA
• ISSN/ISSBN: 0006-3444
• DOI: 10.1093/biomet/asz018
• 发表日期: 2019
• 页码: 740747
• 关键词: quadratic-forms; saddlepoint approximations; time-series; INVARIANT TESTS; robust-tests; stationarity; estimators; matrix; roots; ratio

摘要

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.