Simple lm tests for the unbalanced nested error component regression model

Badi H. Baltagi, Seuck Heun Song, Byoung Cheol Jung

Research output: Contribution to journalArticle

13 Scopus citations

Abstract

This paper derives several Lagrange Multiplier tests for the unbalanced nested error component model. Economic data with a natural nested grouping include firms grouped by industry; or students grouped by schools. The LM tests derived include the joint test for both effects as well as the test for one effect conditional on the presence of the other. The paper also derives the standardized versions of these tests, their asymptotic locally mean most powerful version as well as their robust to local misspecification version. Monte Carlo experiments are conducted to study the performance of these LM tests.

Original languageEnglish (US)
Pages (from-to)167-187
Number of pages21
JournalEconometric Reviews
Volume21
Issue number2
DOIs
StatePublished - Jan 1 2002
Externally publishedYes

Keywords

  • Lm tests
  • Nested error component
  • Panel data
  • Unbalanced data

ASJC Scopus subject areas

  • Economics and Econometrics

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