LEJEUNE, Bernard - Center for Operations Research and Econometrics (CORE), … - 1996
In this paper, we study maximum likelihood estimation and Lagrange multiplier testing of a one-way error components … two Lagrange multiplier test statistics (based on OLS residuals) for jointly testing the null of no individual effects and … from the joint null when it is rejected. The practical usefulness of the model and the testing procedures are illustrated …