A Joint Score Test for Heteroscedasticity in the Two Way Error Components Model

被引：1

作者：

Kouassi, Eugene ^{[1
]}

Sango, Joel ^{[2
]}

Brou, J. M. Bosson ^{[3
]}

Mougoue, Mbodja ^{[4
]}

机构：

[1] W Virginia Univ, Morgantown, WV 26506 USA

[2] Univ Montreal, Dept Math & Stat, Montreal, PQ H3C 3J7, Canada

[3] Univ Cocody, Dept Econ, Abidjan, Cote Ivoire

[4] Wayne State Univ, Dept Finance, Detroit, MI 48202 USA

来源：

COMMUNICATIONS IN STATISTICS-THEORY AND METHODS | 2014年 / 43卷 / 13期

关键词：

Joint score test; Error components model; Heteroscedasticity; MAXIMUM-LIKELIHOOD ESTIMATION; REGRESSION-MODELS;

D O I：

10.1080/03610926.2012.675113

中图分类号：

O21 [概率论与数理统计]; C8 [统计学];

学科分类号：

020208 ; 070103 ; 0714 ;

摘要：

This article extends the work by Holly and Gardiol (2000) (A score test for individual heteroscedasticity in a one-way error component model. In: Krishnakumar, J., Ronchetti, E., Eds. Panel Data Econometrics: Future Directions. Elsevier, North-Holland, Amsterdam, pp. 199-211, Ch. 10) to the two-way error components model. It deals exclusively with a joint heteroscedasticity test by first deriving Rao's efficient score statistics. Then, based on appropriate set of assumptions, we deduce the asymptotic distribution of the score under contiguous alternatives. Finally, we provide the expression for the score test statistic in the presence of heteroscedasticity and discuss its asymptotic local power.

引用

页码：2734 / 2751

页数：18

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