关键词: 拉格朗日乘数, 可混合性检验 , 固定效应

Abstract: This paper proposes a new poolability test based on Lagrange Multiplier (LM) principle. Different from existing LM type poolability test, we construct a new test statistic based on individual lagrange multipliers. The new test is mathematically proved to be asymptotical normality and to be robust to the errors’ heteroscedasticity as well as non-normality. Meanwhile ,it is also proved to be equivalent with the PY Test (Pesaran &Yamagata ,2008). Through Monte Carlo simulation comparied with PY test and the other two LM type poolability tests, it is found that the proposed test performs well in size and better in power in various combinations of N and T.

Key words: Lagrange Multiplier, Poolability Test ;Fixed Effects