This paper derives several Lagrange Multiplier tests for the unbalanced nested error component model with serially correlated remainder disturbances. The problems of overtesting and undertesting for serial correlation and zero random group and nested subgroup effects are considered. The joint...

This paper examines the consequences of model misspecification using a panel data model with spatially autocorrelated disturbances. The performance of several maximum likelihood estimators assuming different specifications for this model are compared using Monte Carlo experiments. These include...

A Monte Carlo study is used to compare the finite sample relative efficiency of a number of pure and pre-test estimators for an error component model with first-order autocorrelated remainder disturbances.

This paper surveys some applications of artificial regressions including the Gauss-Newton, Double-Length and Binary Response Model regressions as testing tools for panel data models. In addition, several other artificial regression tests are reviewed including Hausman's [1978] specification...

Schmidt's [1977] results on seemingly unrelated regressions with unequal number of observations are replicated. These results are shown to be robust to the type of addtional observations available i. e., whether they are time series or cross-sectional in nature. An important finding is that the...