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http://dx.doi.org/10.5351/KJAS.2004.17.3.547

Test in Unbalanced Panel Regression Model with Nuisance Parameter  

이재원 (고려대학교 통계학과)
정병철 (성신여자대학교 통계학과)
송석헌 (고려대학교 통계학과)
Publication Information
The Korean Journal of Applied Statistics / v.17, no.3, 2004 , pp. 547-556 More about this Journal
Abstract
This paper consider the testing problem of variance component for the unbalanced two-way error component model with nuisance parameter. We derive the one-sided LM test statistic for testing zero individual(time) effects assuming that the other time-specific(individual) effects are present. Using the Monte Carlo experiments, the computational more demanding LR test slightly underestimates the nominal size and has the low powers relative to LM test statistic.
Keywords
Nuisance parameter; LM test;
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Times Cited By KSCI : 1  (Citation Analysis)
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