Conditional Score Tests for Heteroscedasticity in the Two-Way Error Components Model

Autor:	Mbodja Mougoué, J. M. Bosson Brou, Joel Sango, Eugene Kouassi
Rok vydání:	2014
Předmět:	Statistics and Probability Score test Heteroscedasticity Autoregressive conditional heteroskedasticity Score Asymptotic distribution symbols.namesake Lagrange multiplier Statistics symbols Econometrics Statistic Mathematics Panel data
Zdroj:	Communications in Statistics - Theory and Methods. 43:3812-3835
ISSN:	1532-415X 0361-0926
DOI:	10.1080/03610926.2012.687067
Popis:	This paper extends the one-way heteroskedasticity score test of Holly and Gardiol (2000, In: Krishnakumar, J, Ronchetti, E (Eds.), Panel Data Econometrics: Future Directions, North-Holland, Amsterdam, pp. 199–211) to two conditional Lagrange Multiplier (LM) tests of heteroskedasticity under contiguous alternatives within the two-way error components model framework. In each case, the derivation of Rao's efficient score statistics for testing heteroskedasticity is first obtained. Then, based on a specific set of assumptions, the asymptotic distribution of the score under contiguous alternatives is established. Finally, the expression for the score test statistic in the presence of heteroskedasticity and related asymptotic local powers of these score test statistics are derived and discussed.
Databáze:	OpenAIRE
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