Journal of the Korean Statistical Society

The Korean Statistical Society (한국통계학회)
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Asymptotic Distribution of the LM Test Statistic for the Nested Error Component Regression Model

  • Published : 1999.12.01
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Abstract

In this paper, we consider the panel data regression model in which the disturbances have nested error component. We derive a Lagrange Multiplier(LM) test which is jointly testing for the presence of random individual effects and nested effects under the normality assumption of the disturbances. This test extends the earlier work of Breusch and Pagan(1980) and Baltagi and Li(1991). Further, it is shown that this LM test has the same asymptotic distribution without normality assumption of the disturbances.

Keywords

References

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