Testing the Error Components Model with Non-Normal Disturbances
推导了非正态扰动下Breusch-Pagan检验统计量的极限分布，证明该检验对非正态扰动具有稳健性，并针对时间效应缺失情形提出一个更优的单侧备择检验。
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.