Testing for random individual and time effects using a Gauss-Newton regression

Badi H. Baltagi

doi:10.1016/0165-1765(95)00754-7

Testing for random individual and time effects using a Gauss-Newton regression

Badi H. Baltagi

Research output: Contribution to journal › Article › peer-review

8 Scopus citations

Abstract

This paper derives a simple method for testing for zero random individual and time period effects in a non-linear model using a Gauss-Newton regression. In case, the regression model is linear, this test amounts to running the original regression with two additional regressors. The first is the average of the least squares residuals over time, while the second is the average of the least squares residuals over individuals. The test statistic becomes the F-statistic for the significance of the two additional regressors.

Original language	English (US)
Pages (from-to)	189-192
Number of pages	4
Journal	Economics Letters
Volume	50
Issue number	2
DOIs	https://doi.org/10.1016/0165-1765(95)00754-7
State	Published - Feb 1996
Externally published	Yes

Keywords

Error components
Gauss-Newton regression
Panel data
Random effects

ASJC Scopus subject areas

Finance
Economics and Econometrics

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10.1016/0165-1765(95)00754-7

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AB - This paper derives a simple method for testing for zero random individual and time period effects in a non-linear model using a Gauss-Newton regression. In case, the regression model is linear, this test amounts to running the original regression with two additional regressors. The first is the average of the least squares residuals over time, while the second is the average of the least squares residuals over individuals. The test statistic becomes the F-statistic for the significance of the two additional regressors.

KW - Error components

KW - Gauss-Newton regression

KW - Panel data

KW - Random effects

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JO - Economics Letters

JF - Economics Letters

IS - 2

ER -

Testing for random individual and time effects using a Gauss-Newton regression

Abstract

Keywords

ASJC Scopus subject areas

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