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- Publisher
- Oxford University Press
- Copyright
- © 1985 The Society for Economic Analysis Limited
- ISSN
- 0034-6527
- eISSN
- 1467-937X
- DOI
- 10.2307/2297739
- Publisher site
- See Article on Publisher Site
Abstract
Abstract This paper derives the limit distribution of the test statistics for the error components model proposed by Breusch and Pagan under the assumption of non-normal disturbances and under a sequence of local alternatives, and shows that the Breusch-Pagan tests are robust to non-normal disturbances. The paper also points out that the Breusch-Pagan tests do not make full use of the information provided by the one-sided alternative. And it proposes a one-sided alternative test for the case where time effects are absent from the model. The newly proposed test dominates the Breusch-Pagan test in the above case. This content is only available as a PDF. © 1985 The Society for Economic Analysis Limited
Journal
The Review of Economic Studies – Oxford University Press
Published: Oct 1, 1985