Crucial inference for the hierarchical linear model concerns the null hypothesis of no random slope. We argue that the usually applied statistical test suffers from the so-called Davies problem, that is, a nuisance parameter is only identified under the alternative. We propose an easy-to-implement methodology that exploits this property. We provide the relevant critical values and demonstrate through simulations that our new methodology has better power properties.

Additional Metadata
Keywords hierarchical linear model, random effects, slope variance, Davies problem
Publisher Erasmus University Rotterdam
Persistent URL hdl.handle.net/1765/78063
Series Econometric Institute Research Papers
van Oest, R.D, & Franses, Ph.H.B.F. (2015). The Davies Problem: A New Test for Random Slope in the Hierarchical Linear Model (No. EI 2015-01). Econometric Institute Research Papers. Erasmus University Rotterdam. Retrieved from http://hdl.handle.net/1765/78063