DP Number DP-2012-003

Language 英語のみ

Date February, 2013

Author William Greene, Colin McKenzie

JEL Classification codes C1, C4

Keywords LM test, score test, random effects, stochastic frontier

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Abstract

We explore practical methods of carrying out Lagrange Multiplier tests for variance
components in two models in which the derivatives needed for the test are identically
zero at the restricted estimates, the random effects probit model and the stochastic
frontier model. The techniques are illustrated with two applications.