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Joint LM Test for Homoscedasticity in a Two-way Error Components Model

Eugene Kouassi, Joel Sango, J. M. Bosson Brou and Kern O. Kymn

Chapter 10 in Econometric Methods and Their Applications in Finance, Macro and Related Fields, 2014, pp 243-286 from World Scientific Publishing Co. Pte. Ltd.

Abstract: The following sections are included:IntroductionHeteroscedasticity in the Two-way Error Components ModelThe Marginal and Joint Lagrange Multiplier TestsMonte Carlo ResultsFinal RemarksAppendix 1. General Expression for the Fisher Information MatrixAppendix 2. Computing tr(∑−1d∑.∑−1d∑)Appendix 3. Expression of tr(AnDkAmDl) for Dk, $${D_k},{D_1}\, \ne \,{i_{\rm{N}}}i^\prime_N^$$Appendix 4. Expression of $$I_N^{ - 1}{|_{\theta \theta }}(\gamma )$$ when θ1 = θ2 = 0References

Keywords: Financial Econometrics; Applied Econometrics; Econometric Theory and Methods (search for similar items in EconPapers)
Date: 2014
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