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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.
Rights: Copyright William Greene & Colin McKenzie, 2012.
Appears in Collections:Economics Working Papers

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