Lagrange multiplier type tests for slope homogeneity in panel data models

Autor:	Christoph Roling, Jörg Breitung, Nazarii Salish
Rok vydání:	2016
Předmět:	Score test Economics and Econometrics Heteroscedasticity Homogeneity (statistics) media_common.quotation_subject 05 social sciences Asymptotic distribution 01 natural sciences Regression 010104 statistics & probability symbols.namesake Lagrange multiplier 0502 economics and business Statistics symbols Applied mathematics 0101 mathematics Normality 050205 econometrics Mathematics Panel data media_common
Zdroj:	The Econometrics Journal. 19:166-202
ISSN:	1368-4221
DOI:	10.1111/ectj.12070
Popis:	This paper employs the Lagrange Multiplier (LM) principle to test parameter homogeneity across cross-section units in panel data models. The test can be seen as a generalization of the Breusch-Pagan test against random individual eects to all regression coecients. While the original test procedure assumes a likelihood framework under normality, several useful variants of the LM test are presented to allow for non-normality and heteroskedasticity. Moreover, the tests can be conveniently computed via simple articial regressions. We derive the limiting distribution of the
Databáze:	OpenAIRE
Externí odkaz:	https://explore.openaire.eu/search/publication?articleId=doi_________::eff68f9136e2a2eb08db7e811fe2fbbb https://doi.org/10.1111/ectj.12070 Zobrazit plný text záznamu Plný text ve formátu PDF Plný text ve formátu HTML
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