Exact Tests of Variance Components in Panel Data Model

In this paper, some new exact tests and confidence intervals of variance components in Panel data model with three random effects are constructed base on the concepts of generalized p value and generalized confidence interval. Invariance of these tests and confidence intervals under scale transformation is also discussed in the paper.The powers of these tests and coverage probabilities are obtained by numerical simulations. It is shown that generalized p value method is feasible and effective to resolve the hypothesis testing problems with nuisance parameters.