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Test of Random Subject Effects In Heteroskedastic Linear Models
Author(s) -
Lundevaller Erling Häggström,
Laitila Thomas
Publication year - 2002
Publication title -
biometrical journal
Language(s) - English
Resource type - Journals
SCImago Journal Rank - 1.108
H-Index - 63
eISSN - 1521-4036
pISSN - 0323-3847
DOI - 10.1002/1521-4036(200210)44:7<825::aid-bimj825>3.0.co;2-z
Subject(s) - heteroscedasticity , mathematics , test (biology) , statistics , goldfeld–quandt test , asymptotic distribution , linear model , econometrics , empirical distribution function , sequence (biology) , statistical hypothesis testing , z test , test statistic , paleontology , genetics , estimator , biology
A new test of random subject effects in linear regression models is presented. The test is robust against heteroskedasticity and its asymptotic distribution is derived under a sequence of local alternatives. The finite sample properties of the test are studied in a simulation experiment and an empirical example. The results presented show that the new test is to be preferred over earlier test proposed.