Joint LM test for homoskedasticity in a one-way error component model

DOI10.1016/j.jeconom.2005.06.029zbMath1418.62267OpenAlexW3123282556MaRDI QIDQ278186

Alain Pirotte, Georges Bresson, Badi H. Baltagi

Publication date: 2 May 2016

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

Full work available at URL: https://surface.syr.edu/cpr/92

zbMATH Keywords

Monte Carlo simulationspanel dataheteroskedasticityerror componentsLagrange multiplier tests

Mathematics Subject Classification ID

Applications of statistics to economics (62P20) Linear regression; mixed models (62J05) Hypothesis testing in multivariate analysis (62H15)

Related Items (15)

Testing for heteroskedasticity and spatial correlation in a two way random effects model ⋮ Testing for heteroskedasticity in two-way fixed effects panel data models ⋮ Test for the covariance matrix in time-varying coefficients panel data models with fixed effects ⋮ Testing for heteroskedasticity and serial correlation in a random effects panel data model ⋮ A Joint Score Test for Heteroscedasticity in the Two Way Error Components Model ⋮ Conditional Score Tests for Heteroscedasticity in the Two-Way Error Components Model ⋮ Tests for skewness and kurtosis in the one-way error component model ⋮ Hypothesis testing based on a vector of statistics ⋮ A joint test for serial correlation and heteroscedasticity in fixed-\(T\) panel regression models with interactive effects ⋮ The impacts of exchange rates on Australia's domestic and outbound travel markets ⋮ Testing for heteroskedasticity and spatial correlation in a random effects panel data model ⋮ Testing for heteroskedasticity in fixed effects models ⋮ Moment-based tests for individual and time effects in panel data models ⋮ Robust tests for heteroskedasticity in the one-way error components model ⋮ Testing under local misspecification and artificial regressions

Cites Work

• A Simple Test for Heteroscedasticity and Random Coefficient Variation
• 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
• Specification Tests Based on Artificial Regressions
• Maximum Likelihood Estimation of a Labour Demand System. An Application of a Model of Seemingly Unrelated Regression Equations with the Regression Errors Composed of Two Components
• Estimators for the One-Way Random Effects Model with Unequal Error Variances
• The Lagrange Multiplier Test and its Applications to Model Specification in Econometrics
• Useful matrix transformations for panel data analysis: a survey
• 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

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