Conditional Score Tests for Heteroscedasticity in the Two-Way Error Components Model

This paper extends the one-way heteroskedasticity score test of Holly and Gardiol (2000, In: Krishnakumar, J, Ronchetti, E (Eds.), Panel Data Econometrics: Future Directions, North-Holland, Amsterdam, pp. 199-211) to two conditional Lagrange Multiplier (LM) tests of heteroskedasticity under contiguo...

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Bibliographic Details
Published in:Communications in statistics. Theory and methods 2014-09, Vol.43 (18), p.3812-3835
Main Authors: Kouassi, Eugene, Sango, Joel, Brou, JM Bosson, Mougoué, Mbodja
Format: Article
Language:English
Subjects:
Asymptotic properties
Conditional score test
Derivation
Econometrics
Error components model
Errors
Heteroskedasticity
Lagrange multipliers
Panels
Primary 60E05
Secondary 60F05
Statistical tests
Statistics
Citations: Items that this one cites
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Summary:This paper extends the one-way heteroskedasticity score test of Holly and Gardiol (2000, In: Krishnakumar, J, Ronchetti, E (Eds.), Panel Data Econometrics: Future Directions, North-Holland, Amsterdam, pp. 199-211) to two conditional Lagrange Multiplier (LM) tests of heteroskedasticity under contiguous alternatives within the two-way error components model framework. In each case, the derivation of Rao's efficient score statistics for testing heteroskedasticity is first obtained. Then, based on a specific set of assumptions, the asymptotic distribution of the score under contiguous alternatives is established. Finally, the expression for the score test statistic in the presence of heteroskedasticity and related asymptotic local powers of these score test statistics are derived and discussed.
ISSN:0361-0926
1532-415X
DOI:10.1080/03610926.2012.687067