IDEAS home Printed from https://ideas.repec.org/a/spr/stpapr/v55y2014i2p513-523.html

Testing the null hypothesis of zero serial correlation in short panel time series: a comparison of tail probabilities

Author

Listed:
  • Shelton Peiris

Abstract

It is known that the analysis of short panel time series data is very important in many practical problems. This paper calculates the exact moments up to order 4 under the null hypothesis of no serial correlation when there are many independent replications of size 3. We further calculate the tail probabilities under the null hypothesis using the Edgeworth approximation for $$n=3, 4$$ and $$5,$$ when the structure of the pdf (probability density function) of the test statistic is in essence different. Finally, we compare the three types of tail probabilities, namely, the Edgeworth approximation, the normal approximation and the exact probabilities through a large scale simulation study. Copyright Springer-Verlag Berlin Heidelberg 2014

Suggested Citation

  • Shelton Peiris, 2014. "Testing the null hypothesis of zero serial correlation in short panel time series: a comparison of tail probabilities," Statistical Papers, Springer, vol. 55(2), pages 513-523, May.
    • Handle: RePEc:spr:stpapr:v:55:y:2014:i:2:p:513-523
    DOI: 10.1007/s00362-012-0495-5
    as

    Download full text from publisher

    File URL: http://hdl.handle.net/10.1007/s00362-012-0495-5
    Download Restriction: Access to full text is restricted to subscribers.
    File URL: https://libkey.io/10.1007/s00362-012-0495-5?utm_source=ideas
    LibKey link: if access is restricted and if your library uses this service, LibKey will redirect you to where you can use your library subscription to access this item
    ---><---

    As the access to this document is restricted, you may want to

    for a different version of it.

    References listed on IDEAS

    as
    1. Claudia Czado & Peter Song, 2008. "State space mixed models for longitudinal observations with binary and binomial responses," Statistical Papers, Springer, vol. 49(4), pages 691-714, October.
    2. Benjamin Born & Jörg Breitung, 2016. "Testing for Serial Correlation in Fixed-Effects Panel Data Models," Econometric Reviews, Taylor & Francis Journals, vol. 35(7), pages 1290-1316, August.
    3. Manfred Mudelsee, 2001. "Note on the bias in the estimation of the serial correlation coefficient of AR(1) processes," Statistical Papers, Springer, vol. 42(4), pages 517-527, October.
    4. Badi Baltagi & Seuck Song, 2006. "Unbalanced panel data: A survey," Statistical Papers, Springer, vol. 47(4), pages 493-523, October.
    5. Perera, D.I. & Peiris, M.S. & Robinson, J. & Weber, N.C., 2008. "The empirical saddlepoint method applied to testing for serial correlation in panel time series data," Statistics & Probability Letters, Elsevier, vol. 78(17), pages 2876-2882, December.
    Full references (including those not matched with items on IDEAS)

    Most related items

    These are the items that most often cite the same works as this one and are cited by the same works as this one.
    1. Jessen, Jonas & Jessen, Robin & Gałecka-Burdziak, Ewa & Góra, Marek & Kluve, Jochen, 2025. "The Micro and Macro Effects of Changes in the Potential Benefit Duration," EconStor Open Access Articles and Book Chapters, ZBW - Leibniz Information Centre for Economics, issue Advance a, pages 1-59.
    2. Hendrik Thiel & Stephan L. Thomsen, 2015. "Individual Poverty Paths and the Stability of Control-Perception," SOEPpapers on Multidisciplinary Panel Data Research 794, DIW Berlin, The German Socio-Economic Panel (SOEP).
    3. Hanane Lasmi & Chul Ho Lee & Yasin Ceran, 2025. "Popularity Brings Better Sales or Vice Versa: Evidence from Instagram and OpenTable," Global Business Review, International Management Institute, vol. 26(4), pages 923-967, August.
    4. Castiglione, Concetta & Infante, Davide & Zieba, Marta, 2023. "Public support for performing arts. Efficiency and productivity gains in eleven European countries," Socio-Economic Planning Sciences, Elsevier, vol. 85(C).
    5. Baffour Gyau, Emmanuel & Appiah, Michael & Gyamfi, Bright Akwasi & Achie, Theodoria & Naeem, Muhammad Abubakr, 2024. "Transforming banking: Examining the role of AI technology innovation in boosting banks financial performance," International Review of Financial Analysis, Elsevier, vol. 96(PB).
    6. Koppenberg, Maximilian & Mishra, Ashok K. & Hirsch, Stefan, 2023. "Food Aid and Violent Conflict: A Review of Literature," IZA Discussion Papers 16574, IZA Network @ LISER.
    7. Paul Christian & Christopher B Barrett, 2024. "Spurious Regressions and Panel IV Estimation: Revisiting the Causes of Conflict," The Economic Journal, Royal Economic Society, vol. 134(659), pages 1069-1099.
    8. Miller, Ray & Bairoliya, Neha & Canning, David, 2019. "Health disparities and the socioeconomic gradient in elderly life-cycle consumption," The Journal of the Economics of Ageing, Elsevier, vol. 14(C).
    9. Mohammed Mahmud Kakanda, & Basariah Salim, & Sitraselvi Chandren,, 2017. "Do board characteristics and risk management disclosure have any effect on firm performance? Empirical evidence from Deposit Money Banks (DMBs) in Nigeria," Business and Economic Horizons (BEH), Prague Development Center, vol. 13(4), pages 506-521, October.
    10. Benatti, Nicola & Groiss, Martin & Kelly, Petra & Lopez-Garcia, Paloma, 2024. "The impact of environmental regulation on clean innovation: are there crowding out effects?," Working Paper Series 2946, European Central Bank.
    11. Musarat Abbas & Ling Yang & Michael L. Lahr, 2024. "Globalization’s effects on South Asia’s carbon emissions, 1996–2019: a multidimensional panel data perspective via FGLS," Humanities and Social Sciences Communications, Palgrave Macmillan, vol. 11(1), pages 1-19, December.
    12. Sami, Janesh & Makun, Keshmeer, 2024. "Food inflation and monetary policy in emerging economies," Journal of Asian Economics, Elsevier, vol. 95(C).
    13. Huafang Huang & Sharafat Ali & Yasir Ahmed Solangi, 2023. "Analysis of the Impact of Economic Policy Uncertainty on Environmental Sustainability in Developed and Developing Economies," Sustainability, MDPI, vol. 15(7), pages 1-19, March.
    14. Çomuk Pınar & Bagieńska Anna & Akkaya Bulent & Ercoşkun Serkan, 2023. "The foreign direct investments, carbon (CO2) emissions, and economic growth nexus: an empirical analysis for Turkey and European Union countries," WSB Journal of Business and Finance, Sciendo, vol. 57(1), pages 88-95.
    15. Kurtulus Merdan, 2024. "Relationship between Organic Agriculture And GDP Per Capita, Economic Growth, and Unemployment: Panel Data Analysis," Istanbul Journal of Economics-Istanbul Iktisat Dergisi, Istanbul University, Faculty of Economics, vol. 73(74-1), pages 253-279, June.
    16. Abrevaya, Jason, 2019. "Missing dependent variables in fixed-effects models," Journal of Econometrics, Elsevier, vol. 211(1), pages 151-165.
    17. Ratliff, David J. & Philipps, Collin S., 2025. "Which corporate leaders matter to financial markets?," International Review of Financial Analysis, Elsevier, vol. 97(C).
    18. Mahapatra, Bamadev & Irfan, Mohd, 2021. "Asymmetric impacts of energy efficiency on carbon emissions: A comparative analysis between developed and developing economies," Energy, Elsevier, vol. 227(C).
    19. Pandey, Ashish & Guhathakurta, Kousik, 2022. "Value relevance of loan loss provision components and the choice of model specification," Advances in accounting, Elsevier, vol. 58(C).
    20. Amadou Barry & Karim Oualkacha & Arthur Charpentier, 2023. "Alternative fixed-effects panel model using weighted asymmetric least squares regression," Statistical Methods & Applications, Springer;Società Italiana di Statistica, vol. 32(3), pages 819-841, September.

    More about this item

    Keywords

    ;
    ;
    ;
    ;
    ;
    ;
    ;
    ;
    ;
    ;
    ;
    ;

    Statistics

    Access and download statistics

    Corrections

    All material on this site has been provided by the respective publishers and authors. You can help correct errors and omissions. When requesting a correction, please mention this item's handle: RePEc:spr:stpapr:v:55:y:2014:i:2:p:513-523. See general information about how to correct material in RePEc.

    If you have authored this item and are not yet registered with RePEc, we encourage you to do it here. This allows to link your profile to this item. It also allows you to accept potential citations to this item that we are uncertain about.

    If CitEc recognized a bibliographic reference but did not link an item in RePEc to it, you can help with this form .

    If you know of missing items citing this one, you can help us creating those links by adding the relevant references in the same way as above, for each refering item. If you are a registered author of this item, you may also want to check the "citations" tab in your RePEc Author Service profile, as there may be some citations waiting for confirmation.

    For technical questions regarding this item, or to correct its authors, title, abstract, bibliographic or download information, contact: Sonal Shukla or Springer Nature Abstracting and Indexing (email available below). General contact details of provider: http://www.springer.com .

    Please note that corrections may take a couple of weeks to filter through the various RePEc services.

    IDEAS is a RePEc service. RePEc uses bibliographic data supplied by the respective publishers.