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Simple Lm Tests For The Unbalanced Nested Error Component Regression Model

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Author Info
Badi Baltagi
Seuck Heun Song
Byoung Cheol Jung

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Abstract

This paper derives several Lagrange Multiplier tests for the unbalanced nested error component model. Economic data with a natural nested grouping include firms grouped by industry; or students grouped by schools. The LM tests derived include the joint test for both effects as well as the test for one effect conditional on the presence of the other. The paper also derives the standardized versions of these tests, their asymptotic locally mean most powerful version as well as their robust to local misspecification version. Monte Carlo experiments are conducted to study the performance of these LM tests.

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File URL: http://www.informaworld.com/openurl?genre=article&doi=10.1081/ETC-120014347&magic=repec&7C&7C8674ECAB8BB840C6AD35DC6213A474B5
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Publisher Info
Article provided by Taylor and Francis Journals in its journal Econometric Reviews.

Volume (Year): 21 (2002)
Issue (Month): 2 ()
Pages: 167-187
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Handle: RePEc:taf:emetrv:v:21:y:2002:i:2:p:167-187

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Related research
Keywords: Panel data Nested error component Unbalanced data LM tests

References listed on IDEAS
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  1. Hadri, K. & Phillips, G.D.A., 1999. "The Accuracy of the Higher Order Bias Approximation for the 2SLS Estimator," Discussion Papers 99/06, University of Exeter, School of Business and Economics.
    Other versions:
  2. Marc Nerlove, 1968. "Further Evidence on the Estimation of Dynamic Economic Relations from a Time Series of Cross-Sections," Cowles Foundation Discussion Papers 257, Cowles Foundation, Yale University. [Downloadable!]
    Other versions:
  3. repec:cup:etheor:v:9:y:1993:i:4:p:649-58 is not listed on IDEAS
  4. Baltagi, Badi H & Pinnoi, Nat, 1995. "Public Capital Stock and State Productivity Growth: Further Evidence from an Error Components Model," Empirical Economics, Springer, vol. 20(2), pages 351-59.
  5. Breusch, T S & Pagan, A R, 1980. "The Lagrange Multiplier Test and Its Applications to Model Specification in Econometrics," Review of Economic Studies, Blackwell Publishing, vol. 47(1), pages 239-53, January. [Downloadable!] (restricted)
  6. Antweiler, Werner, 2001. "Nested random effects estimation in unbalanced panel data," Journal of Econometrics, Elsevier, vol. 101(2), pages 295-313, April. [Downloadable!] (restricted)
  7. Montmarquette, Claude & Mahseredjian, Sophie, 1989. "Does School Matter for Educational Achievement? A Two-Way Nested-Error Components Analysis," Journal of Applied Econometrics, John Wiley & Sons, Ltd., vol. 4(2), pages 181-93, April-Jun. [Downloadable!] (restricted)
  8. Baltagi, Badi H. & Chang, Young-Jae & Li, Qi, 1992. "Monte Carlo results on several new and existing tests for the error component model," Journal of Econometrics, Elsevier, vol. 54(1-3), pages 95-120. [Downloadable!] (restricted)
  9. Moulton, Brent R & Randolph, William C, 1989. "Alternative Tests of the Error Components Model," Econometrica, Econometric Society, vol. 57(3), pages 685-93, May. [Downloadable!] (restricted)
  10. Breusch, Trevor S., 1980. "Useful invariance results for generalized regression models," Journal of Econometrics, Elsevier, vol. 13(3), pages 327-340, August. [Downloadable!] (restricted)
  11. Honda, Yuzo, 1985. "Testing the Error Components Model with Non-normal Disturbances," Review of Economic Studies, Blackwell Publishing, vol. 52(4), pages 681-90, October. [Downloadable!] (restricted)
  12. Alicia H. Munnell, 1990. "Why has productivity growth declined? Productivity and public investment," New England Economic Review, Federal Reserve Bank of Boston, issue Jan, pages 3-22.
  13. Bera, Anil K. & Jarque, Carlos M., 1982. "Model specification tests : A simultaneous approach," Journal of Econometrics, Elsevier, vol. 20(1), pages 59-82, October. [Downloadable!] (restricted)
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