A note on the equivalence of specification tests in the two-factor multivariate variance components model
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.
two-factor multivariate variance components case
scientific article; zbMATH DE number 3980337