A score test for individual heteroscedasticity in one-way error components model

Details

Serval ID
serval:BIB_99C2CD15627E
Type
A part of a book
Collection
Publications
Title
A score test for individual heteroscedasticity in one-way error components model
Title of the book
Panel data econometrics : future directions : papers in honour of professor Pietro Balestra
Author(s)
Holly, A., Gardiol, L. 
Publisher
Elsevier
Publication state
Published
Issued date
2000
Editor
Krishnakumar, J., Ronchetti, E. 
Pages
199-211
Notes
/ Alberto Holly and Lucien Gardiol
Signature indexation : ind 20070514/cja
Langue : anglais
Chapitre de livre | Bibliothèque : DI Hospices/CHUV | Cote : PUB-LIV-CHAP | N° 60325
Holly, Alberto ; Gardiol, Lucien
Abstract
The purpose of this paper is to derive a Rao's efficient score statistic for testing for heteroscedasticity in an error components model with only individual effects. We assume that the individual effect exists and therefore do not test for it. In addition, we assume that the individual effects, and not the white noise term may be heteroscedastic. Finally, we assume that the error components are normally distributed. We first establish, under a specific set of assumptions, the asymptotic distribution of the Score under contiguous alternatives. We then derive the expression for the Score test statistic for individual heteroscedasticity. Finally, we discuss the asymptotic local power of this Score test statistic.
Keywords
panel data, error components model, score test, individual heteroscedasticity: contiguous alternatives, asymptotic local power
Create date
19/11/2007 11:41
Last modification date
20/08/2019 16:01
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