Lm Tests for Random Effects

9 Pages Posted: 12 Sep 2012

See all articles by William H. Greene

William H. Greene

New York University Stern School of Business

Colin McKenzie

Keio University - Faculty of Economics

Date Written: September 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.

Keywords: LM test, score test, random effects, stochastic frontier

Suggested Citation

Greene, William H. and McKenzie, Colin, Lm Tests for Random Effects (September 2012). NYU Working Paper No. 2451/31603, Available at SSRN: https://ssrn.com/abstract=2145157

William H. Greene (Contact Author)

New York University Stern School of Business ( email )

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212-998-0876 (Phone)

HOME PAGE: http://people.stern.nyu.edu/wgreene

Colin McKenzie

Keio University - Faculty of Economics ( email )

2-15-45 Mita, Minato-ku
Tokyo 1088345
Japan

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