LM Tests for Random Effects
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Authors
Greene, William
McKenzie
Date
2012Type
Working Paper
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Greene, W. and McKenzie 2012. LM Tests for Random Effects, NYU Stern School of Business Department of Economics Working Papers, Curtin University of Technology, School of Economics and Finance.
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School of Economics and Finance
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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.
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