A Score Test for Individual Heteroscedasticity in a One-way Error Components Model

  title={A Score Test for Individual Heteroscedasticity in a One-way Error Components Model},
  author={A. Nance Holly and Lucien Gardiol},
The purpose of this paper is to derive a Rao’s e¢cient score statistic for testing for heteroscedasticity in an error components model with only individual e¤ects. We assume that the individual e¤ect exists and therefore do not test for it. In addition, we assume that the individual e¤ects, and not the white noise term may be heteroscedastic. Finally, we assume that the error components are normally distributed. We ...rst establish, under a speci...c set of assumptions, the asymptotic… CONTINUE READING

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