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Conditional Score Tests for Heteroscedasticity in the Two-Way Error Components Model

Author

Listed:
  • Eugene Kouassi
  • Joel Sango
  • JM Bosson Brou
  • Mbodja Mougoué

Abstract

This paper extends the one-way heteroskedasticity score test of Holly and Gardiol (2000, In: Krishnakumar, J, Ronchetti, E (Eds.), Panel Data Econometrics: Future Directions, North-Holland, Amsterdam, pp. 199–211) to two conditional Lagrange Multiplier (LM) tests of heteroskedasticity under contiguous alternatives within the two-way error components model framework. In each case, the derivation of Rao's efficient score statistics for testing heteroskedasticity is first obtained. Then, based on a specific set of assumptions, the asymptotic distribution of the score under contiguous alternatives is established. Finally, the expression for the score test statistic in the presence of heteroskedasticity and related asymptotic local powers of these score test statistics are derived and discussed.

Suggested Citation

  • Eugene Kouassi & Joel Sango & JM Bosson Brou & Mbodja Mougoué, 2014. "Conditional Score Tests for Heteroscedasticity in the Two-Way Error Components Model," Communications in Statistics - Theory and Methods, Taylor & Francis Journals, vol. 43(18), pages 3812-3835, September.
    • Handle: RePEc:taf:lstaxx:v:43:y:2014:i:18:p:3812-3835
    DOI: 10.1080/03610926.2012.687067
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