A Score Test for Individual Heteroscedasticity in a One-way Error Components Model
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References listed on IDEAS
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- Baltagi, Badi H. & Bresson, Georges & Pirotte, Alain, 2006.
"Joint LM test for homoskedasticity in a one-way error component model,"
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"Testing for heteroskedasticity and serial correlation in a random effects panel data model,"
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- Badi H. Baltagi & Byoung Cheol Jung & Seuck Heun Song, 2008. "Testing for Heteroskedasticity and Serial Correlation in a Random Effects Panel Data Model," Center for Policy Research Working Papers 111, Center for Policy Research, Maxwell School, Syracuse University.
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More about this item
Keywordspanel data; error components model; score test; individual heteroscedasticity: contiguous alternatives; asymptotic local power;
- C23 - Mathematical and Quantitative Methods - - Single Equation Models; Single Variables - - - Models with Panel Data; Spatio-temporal Models
- C12 - Mathematical and Quantitative Methods - - Econometric and Statistical Methods and Methodology: General - - - Hypothesis Testing: General
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