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BPPANELTESTS: RATS procedure to perform Breusch-Pagan (and related) tests for random effects

Author

Listed:
  • Tom Doan

    (Estima)

Programming Language

RATS

Abstract

Tests the residuals from a least squares regression for presence of random effects using variants of the Breusch-Pagan LM test. It produces the standard BP test (which has chi-squared asymptotics), the Honda one-sided form (which has N(0,1) asymptotics) and the SLM (standardized Lagrange Multiplier) which is similar to the Honda test but uses small-sample corrections for the mean and standard deviation.

Suggested Citation

  • Tom Doan, "undated". "BPPANELTESTS: RATS procedure to perform Breusch-Pagan (and related) tests for random effects," Statistical Software Components RTS00029, Boston College Department of Economics.
    • Handle: RePEc:boc:bocode:rts00029
    Note: RPF and SRC files are plain text. See https://www.estima.com/ratsfiletypes.shtml
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    File URL: https://www.estima.com/procs_perl/bppaneltests.src
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    Keywords

    Tests for random effects; RATS;

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