Monte Carlo results on several new and existing tests for the error component model

DOI10.1016/0304-4076(92)90101-VzbMath0775.62319MaRDI QIDQ1203086

Badi H. Baltagi, Young-Jae Chang, Q. Li

Publication date: 4 February 1993

Published in: Journal of Econometrics (Search for Journal in Brave)

Mathematics Subject Classification ID

Applications of statistics to economics (62P20)

Related Items (24)

Testing for heteroskedasticity in two-way fixed effects panel data models ⋮ ON SOME OPTIMALITY PROPERTIES OF FISHER-RAO SCORE FUNCTION IN TESTING AND ESTIMATION ⋮ Robustness of tests for error components models to non-normality ⋮ Hausman-type tests for individual and time effects in the panel regression model with incomplete data ⋮ Testing spatial effects and random effects in a nested panel data model ⋮ Misspecified heterogeneity in panel data models ⋮ Dynamic mixed models with heterogeneous covariance components using multivariate GARCH innovations and the Dirichlet process mixture ⋮ Model selection using AIC in the presence of one-sided information ⋮ Properties of Honda's test of random individual effects in non-linear regressions ⋮ Testing panel data regression models with spatial error correlation. ⋮ Testing for individual and time effects in unbalanced panel data models with time-invariant regressors ⋮ Testing for random individual effects using recursive residuals ⋮ Locally optimal one-sided tests for multiparameter hypotheses ⋮ Testing for random effects in panel models with spatially correlated disturbances ⋮ Unnamed Item ⋮ Testing for random effects in panel data under cross sectional error correlation -- a bootstrap approach to the Breusch Pagan test ⋮ Tests for the error component model in the presence of local misspecification ⋮ Moment-based tests for individual and time effects in panel data models ⋮ Determining individual or time effects in panel data models ⋮ SIMPLE LM TESTS FOR THE UNBALANCED NESTED ERROR COMPONENT REGRESSION MODEL ⋮ Empirically relevant critical values for hypothesis tests: A bootstrap approach ⋮ The asymptotic distribution of the F‐test statistic for individual effects ⋮ Testing for Persistence in the Error Component Model: A One-Sided Approach ⋮ Adaptation of honda's one–sided test of random effects to repeated measurements experiments

Cites Work

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• Small sample considerations in estimation from panel data
• Testing the Error Components Model with Non-Normal Disturbances
• The Lagrange Multiplier Test and its Applications to Model Specification in Econometrics
• Likelihood Ratio Test, Wald Test, and Kuhn-Tucker Test in Linear Models with Inequality Constraints on the Regression Parameters
• Maximum Likelihood Approaches to Variance Component Estimation and to Related Problems
• Alternative Tests of the Error Components Model
• Computing the distribution of quadratic forms in normal variables
• Maximum-likelihood estimation for the mixed analysis of variance model
• Computing Maximum Likelihood Estimates for the Mixed A. O. V. Model Using the W Transformation

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