Discussion Papers

LM Tests for Random Effects

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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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.