Joint LM Test for Homoskedasticity in a One-Way error Component Model

Author(s)/Creator(s)

Badi H. Baltagi, Syracuse UniversityFollow
Georges Bresson, Université Panthéon-Assas Paris IIFollow
Alain Pirotte, Université Panthéon-Assas Paris II

Description/Abstract

This paper considers a general heteroskedastic error component model using panel data, and derives a joint LM test for homoskedasticity against the alternative of heteroskedasticity in both error components. It contrasts this joint LM test with marginal LM tests that ignore the heteroskedasticity in one of the error components. Monte Carlo results show that misleading inference can occur when using marginal rather than joint tests when heteroskedasticity is present in both components.

Document Type

Working Paper

Date

2005

Keywords

panel data, heteroskedasticity, Lagrange multiplier tests, error components, Monte Carlo simulations

Language

English

Series

Working Papers Series

Disciplines

Statistics and Probability

Additional Information

Harvest from RePEc at http://repec.org

Recommended Citation

Baltagi, Badi H.; Bresson, Georges; and Pirotte, Alain, "Joint LM Test for Homoskedasticity in a One-Way error Component Model" (2005). Center for Policy Research. 92.
https://surface.syr.edu/cpr/92

Source

Metadata from RePEc

Creative Commons License

This work is licensed under a Creative Commons Attribution 3.0 License.