Joint LM Test for Homoskedasticity in a One-Way error Component Model

Badi Baltagi, Georges Bresson and Alain Pirotte ()
Additional contact information
Alain Pirotte: ERMES (CNRS), Universite Pantheon-Assas Paris II, 12 place du Pantheon, 75 230 Paris Cedex 05, France

No 72, Center for Policy Research Working Papers from Center for Policy Research, Maxwell School, Syracuse University

Abstract: This paper considers a general heteroskedastic error component model using panel data, and derives a joint LM test for homoskedasticity against the alternative of heteroskedasticity in both error components. It contrasts this joint LM test with marginal LM tests that ignore the heteroskedasticity in one of the error components. Monte Carlo results show that misleading inference can occur when using marginal rather than joint tests when heteroskedasticity is present in both components.

Keywords: panel data; heteroskedasticity; Lagrange multiplier tests; error components; Monte Carlo simulations (search for similar items in EconPapers)
JEL-codes: C23 (search for similar items in EconPapers)
Pages: 25 pages
Date: 2005-10
New Economics Papers: this item is included in nep-ecm
References: View references in EconPapers View complete reference list from CitEc
Citations:

Downloads: (external link)
https://surface.syr.edu/cpr/92/ (application/pdf)

Related works:
Journal Article: Joint LM test for homoskedasticity in a one-way error component model (2006)
Working Paper: Joint LM test for homoskedasticity in a one-way error component model (2004)
This item may be available elsewhere in EconPapers: Search for items with the same title.

Export reference: BibTeX RIS (EndNote, ProCite, RefMan) HTML/Text

Persistent link: https://EconPapers.repec.org/RePEc:max:cprwps:72

Access Statistics for this paper

More papers in Center for Policy Research Working Papers from Center for Policy Research, Maxwell School, Syracuse University 426 Eggers Hall, Syracuse, New York USA 13244-1020. Contact information at EDIRC.
Bibliographic data for series maintained by Katrina Fiacchi ().