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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| 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 |
| _version_ | 1848756434303451136 |
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| author | Greene, William McKenzie |
| author_facet | Greene, William McKenzie |
| author_sort | Greene, William |
| building | Curtin Institutional Repository |
| collection | Online Access |
| description | 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. |
| first_indexed | 2025-11-14T09:12:08Z |
| format | Working Paper |
| id | curtin-20.500.11937-42491 |
| institution | Curtin University Malaysia |
| institution_category | Local University |
| last_indexed | 2025-11-14T09:12:08Z |
| publishDate | 2012 |
| publisher | NYU Stern School of Business |
| recordtype | eprints |
| repository_type | Digital Repository |
| spelling | curtin-20.500.11937-424912017-01-30T14:59:59Z LM Tests for Random Effects Greene, William McKenzie score test LM test random effects stochastic frontier 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. 2012 Working Paper http://hdl.handle.net/20.500.11937/42491 http://web-docs.stern.nyu.edu/old_web/economics/docs/workingpapers/2012/Greene-LMTestsRandomEffects_Sept2012.pdf NYU Stern School of Business restricted |
| spellingShingle | score test LM test random effects stochastic frontier Greene, William McKenzie LM Tests for Random Effects |
| title | LM Tests for Random Effects |
| title_full | LM Tests for Random Effects |
| title_fullStr | LM Tests for Random Effects |
| title_full_unstemmed | LM Tests for Random Effects |
| title_short | LM Tests for Random Effects |
| title_sort | lm tests for random effects |
| topic | score test LM test random effects stochastic frontier |
| url | http://web-docs.stern.nyu.edu/old_web/economics/docs/workingpapers/2012/Greene-LMTestsRandomEffects_Sept2012.pdf http://hdl.handle.net/20.500.11937/42491 |