Panel data model; Individual effects and heteroscedasticity; pseudo-LM test
Abstract :
[en] This paper proposes a convenient testing procedure designed for detecting, from preliminary (pooled) OLS estimation of the model, the possible simultaneous presence of indivi-dual effects and heteroscedasticity in the error of a linear panel data regression model. The proposed testing procedure consists in (1) a distribution-free and allowing for unbalanced panel joint pseudo-LM test of the null of no individual effect and no heteroscedasticity and (2) a BMCP based on distribution-free and again allowing for unbalanced panel robust one-directional pseudo-LM tests for identifying the source(s) of departure from the joint null when it is rejected. An empirical example illustrates the usefulness of the testing procedure.
Disciplines :
Quantitative methods in economics & management
Author, co-author :
Lejeune, Bernard ; Université de Liège - ULiège > HEC - École de gestion de l'ULiège > Economie politique et microéconomie appliquée
Language :
English
Title :
A distribution-free joint test and one-directional robust tests for random individual effects and heteroscedasticity allowing for unbalanced panels
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