| Title: | LM Tests for Random Effects |
| Authors: | Greene, William McKenzie, Colin |
| Keywords: | LM test, score test, random effects, stochastic frontier |
| Issue Date: | 10-Sep-2012 |
| 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. |
| URI: | http://hdl.handle.net/2451/31603 |
| Rights: | Copyright William Greene & Colin McKenzie, 2012. |
| Appears in Collections: | Economics Working Papers |
Files in This Item:
| File | Description | Size | Format | |
|---|---|---|---|---|
| Greene-LMTestsRandomEffects_Sept2012.pdf | LM Tests for Random Effects | 465.02 kB | Adobe PDF | View/Open |
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