Baltagi, Badi: Simple LM Tests for the Unbalanced Nested Error Component Regression Model
World Conference Econometric Society, 2000, Seattle

Badi Baltagi, Texas A & M University
Byoung Cheol Jung, Korea University
Seuck Heun Song, Duksung Women's University
Simple LM Tests for the Unbalanced Nested Error Component Regression Model
Session: C-13-21  Wednesday 16 August 2000  by Baltagi, Badi
This paper derives several Lagrange Multiplier tests for the unbalanced nested error component model. These tests extend the earlier work of Breusch and Pagan (1980), Honda (1985), Moulton and Randolph (1989), Baltagi, Chang and Li (1992), Bera and Yoon (1993) and Rahman and King (1998) to the unbalanced nested error component regression model. Monte Carlo experiments are conducted to study the performance of these LM tests. In addition, an empirical illustration is provided applying these tests to the study of productivity of public capital in private production.


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