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Testing the Error Components Model with Non-Normal Disturbances

Yuzo Honda^1,2

¹ Princeton University · ² Kobe University

This paper derives the limit distribution of the test statistics for the error components model proposed by Breusch and Pagan under the assumption of non-normal disturbances and under a sequence of local alternatives, and shows that the Breusch-Pagan tests are robust to non-normal disturbances. The paper also points out that the Breusch-Pagan tests do not make full use of the information provided by the one-sided alternative. And it proposes a one-sided alternative test for the case where time effects are absent from the model. The newly proposed test dominates the Breusch-Pagan test in the above case.

DOI

10.2307/2297739

Volume

52 (4)

Pages

681

Export

BibTeX

Sources

crossref openalex