Testing the Error Components Model with Non-Normal Disturbances

Yuzo Honda

The Review of Economic Studies, 1985, vol. 52, issue 4, 681-690

Abstract: This paper derives the limit distribution of the test statistics for the error components model proposed by Breusch and Pagan under the assumption of non-normal disturbances and under a sequence of local alternatives, and shows that the Breusch-Pagan tests are robust to non-normal disturbances. The paper also points out that the Breusch-Pagan tests do not make full use of the information provided by the one-sided alternative. And it proposes a one-sided alternative test for the case where time effects are absent from the model. The newly proposed test dominates the Breusch-Pagan test in the above case.

Date: 1985
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Persistent link: https://EconPapers.repec.org/RePEc:oup:restud:v:52:y:1985:i:4:p:681-690.

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