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Using Lagrange multiplier type tests to detect structural intra-person heterogeneity in composite marginal likelihood estimation in panel data sets

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  • Büscher, Sebastian
  • Bauer, Dietmar

Abstract

Gradient-based Lagrange multiplier-type tests represent a valuable tool for discriminating between nested models, obviating the necessity to estimate the unrestricted model. This is particularly advantageous when testing for pooling in panel data sets, as it permits the testing of multiple groupings without the necessity of re-estimating the model for each grouping. This makes the process considerably faster and more flexible in comparison to Wald or likelihood ratio type tests.

Suggested Citation

  • Büscher, Sebastian & Bauer, Dietmar, 2025. "Using Lagrange multiplier type tests to detect structural intra-person heterogeneity in composite marginal likelihood estimation in panel data sets," Journal of choice modelling, Elsevier, vol. 57(C).
    • Handle: RePEc:eee:eejocm:v:57:y:2025:i:c:s1755534525000363
    DOI: 10.1016/j.jocm.2025.100573
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    References listed on IDEAS

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