LM Tests for Random Effects
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 illustra...
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| Format: | Working Paper |
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NYU Stern School of Business
2012
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| Subjects: | |
| Online Access: | http://web-docs.stern.nyu.edu/old_web/economics/docs/workingpapers/2012/Greene-LMTestsRandomEffects_Sept2012.pdf http://hdl.handle.net/20.500.11937/42491 |