Robustness of tests for error components models to non-normality

DOI10.1016/0165-1765(95)00797-0zbMath0875.90186OpenAlexW1976187896MaRDI QIDQ1350560

Pierre Blanchard, László Mátyás

Publication date: 27 February 1997

Published in: Economics Letters (Search for Journal in Brave)

Full work available at URL: http://ageconsearch.umn.edu/record/267433

zbMATH Keywords

Panel dataHypothesis testingMonte Carlo analysisError components modelNon-normality

Mathematics Subject Classification ID

Applications of statistics to economics (62P20) Statistical methods; economic indices and measures (91B82)

Related Items

Testing the distribution of error components in panel data models ⋮ Testing for normality with panel data ⋮ Tests for skewness and kurtosis in the one-way error component model ⋮ Five Diagnostic Tests for Unobserved Cluster Effects

Cites Work

• Unnamed Item
• Maximum likelihood estimation of random effects models
• Monte Carlo results on several new and existing tests for the error component model
• Testing the Error Components Model with Non-Normal Disturbances
• The Lagrange Multiplier Test and its Applications to Model Specification in Econometrics
• A General Procedure for Obtaining Maximum Likelihood Estimates in Generalized Regression Models
• A Probability Distribution and Its Uses in Fitting Data
• Alternative Tests of the Error Components Model
• The econometrics of panel data. Handbook of theory and applications.