BPPANELTESTS: RATS procedure to perform Breusch-Pagan (and related) tests for random effects

Tom Doan ()

Statistical Software Components from Boston College Department of Economics

Abstract: Tests the residuals from a least squares regression for presence of random effects using variants of the Breusch-Pagan LM test. It produces the standard BP test (which has chi-squared asymptotics), the Honda one-sided form (which has N(0,1) asymptotics) and the SLM (standardized Lagrange Multiplier) which is similar to the Honda test but uses small-sample corrections for the mean and standard deviation.

Language: RATS
Requires: RATS 7.30
Keywords: Tests; for; random; effects (search for similar items in EconPapers)
Note: RPF and SRC files are plain text. See https://www.estima.com/ratsfiletypes.shtml
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https://www.estima.com/procs_perl/bppaneltests.src (text/plain)

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