SIMPLE LM TESTS FOR THE UNBALANCED NESTED ERROR COMPONENT REGRESSION MODEL
为非平衡嵌套误差成分模型推导了多种拉格朗日乘子检验，包括联合检验和条件检验，并给出了标准化、渐近局部均值最有效及稳健版本，通过蒙特卡洛实验评估其表现。
ABSTRACT This paper derives several Lagrange Multiplier tests for the unbalanced nested error component model. Economic data with a natural nested grouping include firms grouped by industry; or students grouped by schools. The LM tests derived include the joint test for both effects as well as the test for one effect conditional on the presence of the other. The paper also derives the standardized versions of these tests, their asymptotic locally mean most powerful version as well as their robust to local misspecification version. Monte Carlo experiments are conducted to study the performance of these LM tests.