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Robustness of Tests for Error Component Models to Nonnormality

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  • Blanchard, P.
  • Matyas, L.

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Bibliographic Info

Paper provided by Monash University, Department of Econometrics and Business Statistics in its series Monash Econometrics and Business Statistics Working Papers with number 3/94.

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Length: 16 pages
Date of creation: 1994
Date of revision:
Handle: RePEc:msh:ebswps:1994-3

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Postal: PO Box 11E, Monash University, Victoria 3800, Australia
Phone: +61-3-9905-2489
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Web page: http://www.buseco.monash.edu.au/depts/ebs/
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Related research

Keywords: econometrics; Error Component Models; Nonnormality;

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References

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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.:
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  1. Breusch, T S & Pagan, A R, 1980. "The Lagrange Multiplier Test and Its Applications to Model Specification in Econometrics," Review of Economic Studies, Wiley Blackwell, vol. 47(1), pages 239-53, January.
  2. Breusch, Trevor S., 1987. "Maximum likelihood estimation of random effects models," Journal of Econometrics, Elsevier, vol. 36(3), pages 383-389, November.
  3. Oberhofer, W & Kmenta, J, 1974. "A General Procedure for Obtaining Maximum Likelihood Estimates in Generalized Regression Models," Econometrica, Econometric Society, vol. 42(3), pages 579-90, May.
  4. Baltagi, Badi H. & Levin, Dan, 1992. "Cigarette taxation: Raising revenues and reducing consumption," Structural Change and Economic Dynamics, Elsevier, vol. 3(2), pages 321-335, December.
  5. Evans, Merran, 1992. "Robustness of size of tests of autocorrelation and heteroscedasticity to nonnormality," Journal of Econometrics, Elsevier, vol. 51(1-2), pages 7-24.
  6. 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.
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Cited by:
  1. Parent, Olivier & LeSage, James P., 2012. "Spatial dynamic panel data models with random effects," Regional Science and Urban Economics, Elsevier, vol. 42(4), pages 727-738.
  2. Gilbert, Scott, 2002. "Testing the distribution of error components in panel data models," Economics Letters, Elsevier, vol. 77(1), pages 47-53, September.

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