Journal of the Korean Statistical Society

The Korean Statistical Society (한국통계학회)
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LM Tests in Nested Serially Correlated Error Components Model with Panel Data

  • Song, Seuck-Heun (Department of Statistics, Korea University) ;
  • Jung, Byoung-Cheol (Department of Economics, Korea UniversityMyoungshic Jhun Department of Statistics, Korea University) ;
  • Myoungshic Jhun (Department of Statistics, Korea University)
  • Published : 2001.12.01
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Abstract

This paper considers a panel data regression model in which the disturbances follow a nested error components with serial correlation. Given this model, this paper derives several Lagrange Multiplier(LM) testis for the presence of serial correlation as well as random individual effects, nested effects, and for existence of serial correlation given random individual and nested effects.

Keywords

References

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