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

Autor:	Joel Sango, J. M. Bosson Brou, Mbodja Mougoué, Eugene Kouassi
Rok vydání:	2014
Předmět:	Statistics and Probability Score test Heteroscedasticity Statistics Econometrics Score Asymptotic distribution Park test Statistic Panel data Mathematics Test (assessment)
Zdroj:	Communications in Statistics - Theory and Methods. 43:2734-2751
ISSN:	1532-415X 0361-0926
DOI:	10.1080/03610926.2012.675113
Popis:	This article extends the work by Holly and Gardiol (2000) (A score test for individual heteroscedasticity in a one-way error component model. In: Krishnakumar, J., Ronchetti, E., Eds. Panel Data Econometrics: Future Directions. Elsevier, North-Holland, Amsterdam, pp. 199–211, Ch. 10) to the two-way error components model. It deals exclusively with a joint heteroscedasticity test by first deriving Rao's efficient score statistics. Then, based on appropriate set of assumptions, we deduce the asymptotic distribution of the score under contiguous alternatives. Finally, we provide the expression for the score test statistic in the presence of heteroscedasticity and discuss its asymptotic local power.
Databáze:	OpenAIRE
Externí odkaz:	https://explore.openaire.eu/search/publication?articleId=doi_________::2989dc6a1d7edc72a71215bcad7daa36 https://doi.org/10.1080/03610926.2012.675113 Zobrazit plný text záznamu