DP番号 DP-2012-003

言語 英語のみ

発行年月 February, 2013

著者 William Greene, Colin McKenzie

JELコード C1, C4

キーワード LM test, score test, random effects, stochastic frontier

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要旨

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.