LM Test of Neglected Correlated Random Effects and Its Application

Jinyong Hahn, Hyungsik Moon () and Connan Snider

Journal of Business & Economic Statistics, 2017, vol. 35, issue 3, 359-370

Abstract: This article aims at achieving two distinct goals. The first is to extend the existing LM test of overdispersion to the situation where the alternative hypothesis is characterized by the correlated random effects model. We obtain a result that the test against the random effects model has a certain max-min type optimality property. We will call such a test the LM test of overdispersion. The second goal of the article is to draw a connection between panel data analysis and the analysis of multiplicity of equilibrium in games. Because such multiplicity can be viewed as a particular form of neglected heterogeneity, we propose an intuitive specification test for a class of two-step game estimators.

Date: 2017
References: Add references at CitEc
Citations: View citations in EconPapers (1)

Downloads: (external link)
http://hdl.handle.net/10.1080/07350015.2015.1063426 (text/html)
Access to full text is restricted to subscribers.

Related works:
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:taf:jnlbes:v:35:y:2017:i:3:p:359-370

Ordering information: This journal article can be ordered from
http://www.tandfonline.com/pricing/journal/UBES20

DOI: 10.1080/07350015.2015.1063426

Access Statistics for this article

Journal of Business & Economic Statistics is currently edited by Eric Sampson, Rong Chen and Shakeeb Khan

More articles in Journal of Business & Economic Statistics from Taylor & Francis Journals
Bibliographic data for series maintained by Chris Longhurst ().