Question: Using the Monte Carlo setup for the two-way error component model described in Baltagi (1981), (a) Compare the performance of the Chow (F)-test and the

Using the Monte Carlo setup for the two-way error component model described in Baltagi (1981),

(a) Compare the performance of the Chow \(F\)-test and the Roy-Zellner test for various values of the variance components.

(b) Compare the performance of the BP, KW, SLM, LR, GHM, and F-test statistics as done in Baltagi, Chang and \(\mathrm{Li}\) (1992).

(c) Perform Hausman's specification test and discuss its size for the various experiments conducted.

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