Reference : A distribution-free joint test and one-directional robust tests for random individual ef...
Scientific congresses and symposiums : Unpublished conference
Business & economic sciences : Quantitative methods in economics & management
A distribution-free joint test and one-directional robust tests for random individual effects and heteroscedasticity allowing for unbalanced panels
Lejeune, Bernard[Université de Liège - ULg > HEC - Ecole de gestion de l'ULg > Economie politique et microéconomie appliquée >]
Econometric Society European Meeting
29 août - 1 septembre 1999
Santiago de Compostela
[en] Panel data model ; Individual effects and heteroscedasticity ; pseudo-LM test
[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.