A note on the equivalence of specification tests in the two-factor multivariate variance components model (Q1084827)
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scientific article; zbMATH DE number 3980337
| Language | Label | Description | Also known as |
|---|---|---|---|
| English | A note on the equivalence of specification tests in the two-factor multivariate variance components model |
scientific article; zbMATH DE number 3980337 |
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A note on the equivalence of specification tests in the two-factor multivariate variance components model (English)
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1985
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This note offers a generalization of \textit{J. A. Hausman} and \textit{W. E. Taylor}'s [Econometrika 49, 1377-1398 (1981; Zbl 0464.90013)] equivalence of specification tests in the single-equation variance (error) components model to the two-factor multivariate variance components case. The relationship between the specification tests and the hypothesis tests in the model proposed by \textit{Y. Mundlak} [ibid. 46, 69-85 (1978; Zbl 0397.62066)] is also discussed.
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GLS estimator
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equivalence of specification tests
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two-factor multivariate variance components case
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