A Joint Score Test for Heteroscedasticity in the Two Way Error Components Model

DOI10.1080/03610926.2012.675113zbMath1318.60021OpenAlexW2047802161MaRDI QIDQ2921828

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Publication date: 14 October 2014

Published in: Communications in Statistics - Theory and Methods (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1080/03610926.2012.675113

zbMATH Keywords

heteroscedasticityerror components modeljoint score test

Mathematics Subject Classification ID

Central limit and other weak theorems (60F05) Probability distributions: general theory (60E05)

Related Items (2)

Testing for heteroskedasticity and spatial correlation in a two way random effects model ⋮ Testing for heteroskedasticity in two-way fixed effects panel data models

Cites Work

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• Joint LM test for homoskedasticity in a one-way error component model
• A transformation for heteroscedastic error components regression models
• Multivariate error components analysis of linear and nonlinear regression models by maximum likelihood
• Maximum likelihood estimation of the GLS model with unknown parameters in the disturbance covariance matrix
• Statistical Inference in an Implicit, Nonlinear, Simultaneous Equation Mode in the Context of Maximum Likelihood Estimation
• Adaptive Estimation in the Panel Data Error Component Model with Heteroskedasticity of Unknown Form
• IS ADAPTIVE ESTIMATION USEFUL FOR PANEL MODELS WITH HETEROSKEDASTICITY IN THE INDIVIDUAL SPECIFIC ERROR COMPONENT? SOME MONTE CARLO EVIDENCE
• The Estimation of the Variances in a Variance-Components Model

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