Maximum Likelihood Ratio based small-sample tests for random coefficients in linear regression
AbstractTwo small-sample tests for random coefficients in linear regression are derived from the Maximum Likelihood Ratio. The first test has previously been proposed for testing equality of fixed effects, but is here shown to be suitable also for random coefficients. The second test is based on the multiple coefficient of determination from regressing the observed subject means on the estimated slopes. The properties and relations of the tests are examined in detail, followed by a simulation study of the power functions. The two tests are found to complement each other depending on the study design: The first test is preferred for a large number of observations from a small number of subjects, and the second test is preferred for the opposite situation. Finally, the robustness of the tests to violations of the distributional assumptions is examined.
Download InfoIf you experience problems downloading a file, check if you have the proper application to view it first. In case of further problems read the IDEAS help page. Note that these files are not on the IDEAS site. Please be patient as the files may be large.
Bibliographic InfoPaper provided by University of Gothenburg, Department of Economics in its series Working Papers in Economics with number 102.
Length: 21 pages
Date of creation: 25 Aug 2003
Date of revision:
Contact details of provider:
Postal: Department of Economics, School of Business, Economics and Law, University of Gothenburg, Box 640, SE 405 30 GÖTEBORG, Sweden
Phone: 031-773 10 00
Web page: http://www.handels.gu.se/econ/
More information through EDIRC
Exact test; Hypothesis test; Maximum Likelihood; Pre-test; Random coefficient regression;
Find related papers by JEL classification:
- C12 - Mathematical and Quantitative Methods - - Econometric and Statistical Methods and Methodology: General - - - Hypothesis Testing: General
- C23 - Mathematical and Quantitative Methods - - Single Equation Models; Single Variables - - - Models with Panel Data; Spatio-temporal Models
- C52 - Mathematical and Quantitative Methods - - Econometric Modeling - - - Model Evaluation, Validation, and Selection
This paper has been announced in the following NEP Reports:
- NEP-ALL-2003-08-31 (All new papers)
- NEP-ECM-2003-08-31 (Econometrics)
- NEP-ETS-2003-08-31 (Econometric Time Series)
Please report citation or reference errors to , or , if you are the registered author of the cited work, log in to your RePEc Author Service profile, click on "citations" and make appropriate adjustments.:
- Boozer, Michael A., 1997. "Econometric Analysis of Panel Data Badi H. Baltagi Wiley, 1995," Econometric Theory, Cambridge University Press, vol. 13(05), pages 747-754, October.
- Mundlak, Yair, 1978. "On the Pooling of Time Series and Cross Section Data," Econometrica, Econometric Society, vol. 46(1), pages 69-85, January.
- V. V. Anh, 1999. "Estimated Generalized Least Squares for Random Coefficient Regression Models," Scandinavian Journal of Statistics, Danish Society for Theoretical Statistics;Finnish Statistical Society;Norwegian Statistical Association;Swedish Statistical Association, vol. 26(1), pages 31-46.
- Honda, Yuzo, 1985. "Testing the Error Components Model with Non-normal Disturbances," Review of Economic Studies, Wiley Blackwell, vol. 52(4), pages 681-90, October.
- Fujikoshi, Yasunori & von Rosen, Dietrich, 2000. "LR Tests for Random-Coefficient Covariance Structures in an Extended Growth Curve Model," Journal of Multivariate Analysis, Elsevier, vol. 75(2), pages 245-268, November.
- Hausman, Jerry A, 1978.
"Specification Tests in Econometrics,"
Econometric Society, vol. 46(6), pages 1251-71, November.
- Swamy, P A V B, 1970.
"Efficient Inference in a Random Coefficient Regression Model,"
Econometric Society, vol. 38(2), pages 311-23, March.
- Tom Doan, . "SWAMY: RATS procedure to compute a GLS matrix weighted estimator for a panel data set," Statistical Software Components RTS00206, Boston College Department of Economics.
- Andrews, Donald W K, 2001.
"Testing When a Parameter Is on the Boundary of the Maintained Hypothesis,"
Econometric Society, vol. 69(3), pages 683-734, May.
- Donald W.K. Andrews, 1999. "Testing When a Parameter Is on the Boundary of the Maintained Hypothesis," Cowles Foundation Discussion Papers 1229, Cowles Foundation for Research in Economics, Yale University.
- Jonsson, Robert, 2003. "On the problem of optimal inference for time heterogeneous data with error components regression structure," Working Papers in Economics 110, University of Gothenburg, Department of Economics.
For technical questions regarding this item, or to correct its authors, title, abstract, bibliographic or download information, contact: (Marie Andersson).
If references are entirely missing, you can add them using this form.