Bennala, Nezar; Hallin, Marc; Paindaveine, Davy - In: Journal of Econometrics 170 (2012) 1, pp. 50-67
We consider the problem of detecting unobserved heterogeneity, that is, the problem of testing the absence of random individual effects in an n×T panel. We establish a local asymptotic normality property–with respect to intercept, regression coefficient, the scale parameter σ of the error,...