Lagrange multiplier type tests for slope homogeneity in panel data models
面板数据模型中斜率同质性的拉格朗日乘数型检验
In this paper, we employ the Lagrange multiplier (LM) principle to test parameter homogeneity across cross‐section units in panel data models. The test can be seen as a generalization of the Breusch–Pagan test against random individual effects to all regression coefficients. While the original test procedure assumes a likelihood framework under normality, several useful variants of the LM test are presented to allow for non‐normality, heteroscedasticity and serially…