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Joint LM test for homoskedasticity in a one-way error component model

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B. BALTAGI
G. BRESSON
A. PIROTTE

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Paper provided by ERMES, University Paris 2 in its series Working Papers ERMES with number 0408.

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Date of creation: 26 Apr 2004
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Handle: RePEc:erm:papers:0408

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  1. Randolph, William C., 1988. "A transformation for heteroscedastic error components regression models," Economics Letters, Elsevier, vol. 27(4), pages 349-354. [Downloadable!] (restricted)
  2. Davidson, R. & MacKinnon & J.G., 1999. "Artificial Regressions," G.R.E.Q.A.M. 99a04, Universite Aix-Marseille III.
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  3. Li, Qi & Stengos, Thanasis, 1994. "Adaptive Estimation in the Panel Data Error Component Model with Heteroskedasticity of Unknown Form," International Economic Review, Department of Economics, University of Pennsylvania and Osaka University Institute of Social and Economic Research Association, vol. 35(4), pages 981-1000, November. [Downloadable!] (restricted)
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  4. Magnus, Jan R., 1978. "Maximum likelihood estimation of the GLS model with unknown parameters in the disturbance covariance matrix," Journal of Econometrics, Elsevier, vol. 7(3), pages 281-312, April. [Downloadable!] (restricted)
  5. Rilstone, Paul, 1991. "Some Monte Carlo Evidence on the Relative Efficiency of Parametric and Semiparametric EGLS Estimators," Journal of Business & Economic Statistics, American Statistical Association, vol. 9(2), pages 179-87, April.
  6. 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)
  7. Breusch, T S & Pagan, A R, 1979. "A Simple Test for Heteroscedasticity and Random Coefficient Variation," Econometrica, Econometric Society, vol. 47(5), pages 1287-94, September. [Downloadable!] (restricted)
  8. Lejeune, B., 1996. "A Full Heteroscedastic One-Way Error Components Model for Incomplete Panel: Maximum Likelihood Estimation and Lagrange Multiplier Testing," Papers 9606, Catholique de Louvain - Center for Operations Research and Economics.
  9. Baltagi, Badi H & Griffin, James M, 1988. "A Generalized Error Component Model with Heteroscedastic Disturbances," International Economic Review, Department of Economics, University of Pennsylvania and Osaka University Institute of Social and Economic Research Association, vol. 29(4), pages 745-53, November. [Downloadable!] (restricted)
  10. Alberto HOLLY & Lucien GARDIOL, 1999. "A Score Test for Individual Heteroscedasticity in a One-way Error Components Model," Cahiers de Recherches Economiques du Département d'Econométrie et d'Economie politique (DEEP) 9915, Université de Lausanne, Faculté des HEC, DEEP. [Downloadable!]
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