HOLLY, Alberto; GARDIOL, Lucien - Départment d'économétrie et d'économie politique … - 1999
the error components are normally distributed. We first establish, under a specific set of assumptions, the asymptotic …The purpose of this paper is to derive a Rao's efficient score statistic for testing for heteroscedasticity in an error … components model with only individual effects. We assume that the individual effect exists and therefore do not test for it. In …