IDEAS home Printed from
MyIDEAS: Log in (now much improved!) to save this paper

A full heteroscedastic one-way error components model allowing for unbalanced panel : Pseudo-maximum likelihood estimation and specification testing

Listed author(s):
  • LEJEUNE, Bernard
Registered author(s):

    This paper proposes an extension of the standard one-way error components model allowing for heteroscedasticity in both the individual-specific and the general error terms, as well as for unbalanced panel. Onthe grounds of its robustness to distributional misspecification, its robustness to possible misspecification of the assumed scedastic structure of the data, its computational convenience and its potential efficiency, we argue for estimating this model by Gaussian pseudo-maximum likelihood of order two. Further, we review how, taking advantage of the powerful m-testing framework,the correct specification of the prominent aspects of the model may be tested. So are surveyed potentially useful nested, non-nested, Hausman and information matrix type diagnostic tests of both the mean and the variance specification of the model. Finally, we illustrate the practical relevance of our proposed model and estimation and diagnostic testing procedures through an empirical example in the production analysis field.

    If you experience problems downloading a file, check if you have the proper application to view it first. In case of further problems read the IDEAS help page. Note that these files are not on the IDEAS site. Please be patient as the files may be large.

    File URL:
    Download Restriction: no

    Paper provided by Université catholique de Louvain, Center for Operations Research and Econometrics (CORE) in its series CORE Discussion Papers with number 2004076.

    in new window

    Date of creation: 00 Nov 2004
    Handle: RePEc:cor:louvco:2004076
    Contact details of provider: Postal:
    Voie du Roman Pays 34, 1348 Louvain-la-Neuve (Belgium)

    Phone: 32(10)474321
    Fax: +32 10474304
    Web page:

    More information through EDIRC

    No references listed on IDEAS
    You can help add them by filling out this form.

    This item is not listed on Wikipedia, on a reading list or among the top items on IDEAS.

    When requesting a correction, please mention this item's handle: RePEc:cor:louvco:2004076. See general information about how to correct material in RePEc.

    For technical questions regarding this item, or to correct its authors, title, abstract, bibliographic or download information, contact: (Alain GILLIS)

    If you have authored this item and are not yet registered with RePEc, we encourage you to do it here. This allows to link your profile to this item. It also allows you to accept potential citations to this item that we are uncertain about.

    If references are entirely missing, you can add them using this form.

    If the full references list an item that is present in RePEc, but the system did not link to it, you can help with this form.

    If you know of missing items citing this one, you can help us creating those links by adding the relevant references in the same way as above, for each refering item. If you are a registered author of this item, you may also want to check the "citations" tab in your profile, as there may be some citations waiting for confirmation.

    Please note that corrections may take a couple of weeks to filter through the various RePEc services.

    This information is provided to you by IDEAS at the Research Division of the Federal Reserve Bank of St. Louis using RePEc data.