Robustness of Tests for Error Component Models to Nonnormality
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Bibliographic InfoPaper provided by Monash University, Department of Econometrics and Business Statistics in its series Monash Econometrics and Business Statistics Working Papers with number 3/94.
Length: 16 pages
Date of creation: 1994
Date of revision:
Contact details of provider:
Postal: PO Box 11E, Monash University, Victoria 3800, Australia
Web page: http://www.buseco.monash.edu.au/depts/ebs/
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Other versions of this item:
- Blanchard, Pierre & Matyas, Laszlo, 1996. "Robustness of tests for error components models to non-normality," Economics Letters, Elsevier, vol. 51(2), pages 161-167, May.
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.:
- 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.
- Breusch, T.S. & Pagan, A.R., . "The Lagrange multiplier test and its applications to model specification in econometrics," CORE Discussion Papers RP -412, Université catholique de Louvain, Center for Operations Research and Econometrics (CORE).
- Breusch, Trevor S., 1987. "Maximum likelihood estimation of random effects models," Journal of Econometrics, Elsevier, vol. 36(3), pages 383-389, November.
- 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.
- 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.
- 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.
- 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.
- 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.
- 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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