A Score Test for Individual Heteroscedasticity in a One-way Error Components Model
AbstractThe purpose of this paper is to derive a Rao's efficient score statistic for testing for heteroscedasticity in an error components model with only individual effects. We assume that the individual effect exists and therefore do not test for it. In addition, we assume that the individual effects, and not the white noise term may be heteroscedastic. Finally, we assume that the error components are normally distributed. We first establish, under a specific set of assumptions, the asymptotic distribution of the Score under contiguous alternatives. We then derive the expression for the Score test statistic for individual heteroscedasticity. Finally, we discuss the asymptotic local power of this Score test statistic.
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Bibliographic InfoPaper provided by Université de Lausanne, Faculté des HEC, DEEP in its series Cahiers de Recherches Economiques du Département d'Econométrie et d'Economie politique (DEEP) with number 9915.
Length: 18 pages
Date of creation: Sep 1999
Date of revision:
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More information through EDIRC
panel data; error components model; score test; individual heteroscedasticity: contiguous alternatives; asymptotic local power;
Find related papers by JEL classification:
- C23 - Mathematical and Quantitative Methods - - Single Equation Models; Single Variables - - - Models with Panel Data; Spatio-temporal Models
- C12 - Mathematical and Quantitative Methods - - Econometric and Statistical Methods and Methodology: General - - - Hypothesis Testing: General
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