Test of Random Subject Effects In Heteroskedastic Linear Models |
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Authors: | Erling Hä ggströ m Lundevaller,Thomas Laitila |
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Abstract: | 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. |
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Keywords: | GLM Regression Repeated measurements Score test |
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