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

Research output: Contribution to journalArticle

7 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 languageEnglish (US)
Pages (from-to)189-192
Number of pages4
JournalEconomics Letters
Volume50
Issue number2
DOIs
StatePublished - Feb 1996
Externally publishedYes

Keywords

  • Error components
  • Gauss-Newton regression
  • Panel data
  • Random effects

ASJC Scopus subject areas

  • Finance
  • Economics and Econometrics

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