BPPANELTESTS - Breusch-Pagan test for Random Effects

[TomDoan]

Attached is a file for doing the Breusch-Pagan LM test for random effects (and several variants on it), from Breusch & Pagan(1980), "The Lagrange Multiplier Test and Its Applications to Model Specification in Econometrics," Review of Economic Studies, vol. 47, no. 1, 239-53. This is a test based upon the OLS residuals, and needs to be (immediately) preceded by that regression. It does the original LM version, the signed version from Honda and a signed version with small-sample corrections (the SLM or standardized LM in the output).

bppaneltests.src

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An example of its use is available at http://www.estima.com/forum/viewtopic.php?f=31&t=1020