IDEAS home Printed from https://ideas.repec.org/a/cup/etheor/v9y1993i01p94-113_00.html
   My bibliography  Save this article

Variable Augmentation Specification Tests in the Exponential Family

Author

Listed:
  • Gurmu, Shiferaw
  • Trivedi, Pravin K.

Abstract

This paper motivates, exposits, and develops the variable augmentation specification test (VAST) approach from the perspective of generalized linear exponential family, which includes several parametric families widely used in applied econometrics and statistics. The approach is equivalent to score tests and link tests and serves to both unify and simplify the computation of score tests in such models using the Engle-Davidson-MacKinnon technique of artificial regression. Specification tests for both the mean and the variance components are treated symmetrically. Several theoretical applications are discussed.

Suggested Citation

  • Gurmu, Shiferaw & Trivedi, Pravin K., 1993. "Variable Augmentation Specification Tests in the Exponential Family," Econometric Theory, Cambridge University Press, vol. 9(1), pages 94-113, January.
  • Handle: RePEc:cup:etheor:v:9:y:1993:i:01:p:94-113_00
    as

    Download full text from publisher

    File URL: https://www.cambridge.org/core/product/identifier/S0266466600007350/type/journal_article
    File Function: link to article abstract page
    Download Restriction: no
    ---><---

    Citations

    Citations are extracted by the CitEc Project, subscribe to its RSS feed for this item.
    as


    Cited by:

    1. Papke, Leslie E & Wooldridge, Jeffrey M, 1996. "Econometric Methods for Fractional Response Variables with an Application to 401(K) Plan Participation Rates," Journal of Applied Econometrics, John Wiley & Sons, Ltd., vol. 11(6), pages 619-632, Nov.-Dec..
    2. HEINEN, Andréas, 2003. "Modelling time series count data: an autoregressive conditional Poisson model," LIDAM Discussion Papers CORE 2003062, Université catholique de Louvain, Center for Operations Research and Econometrics (CORE).
    3. Lundevaller, Erling Häggström, 2009. "The effect of travel cost on frequencies of shopping and recreational trips in Sweden," Journal of Transport Geography, Elsevier, vol. 17(3), pages 208-215.

    More about this item

    Statistics

    Access and download statistics

    Corrections

    All material on this site has been provided by the respective publishers and authors. You can help correct errors and omissions. When requesting a correction, please mention this item's handle: RePEc:cup:etheor:v:9:y:1993:i:01:p:94-113_00. See general information about how to correct material in RePEc.

    If you have authored this item and are not yet registered with RePEc, we encourage you to do it here. This allows to link your profile to this item. It also allows you to accept potential citations to this item that we are uncertain about.

    We have no bibliographic references for this item. You can help adding them by using this form .

    If you know of missing items citing this one, you can help us creating those links by adding the relevant references in the same way as above, for each refering item. If you are a registered author of this item, you may also want to check the "citations" tab in your RePEc Author Service profile, as there may be some citations waiting for confirmation.

    For technical questions regarding this item, or to correct its authors, title, abstract, bibliographic or download information, contact: Kirk Stebbing (email available below). General contact details of provider: https://www.cambridge.org/ect .

    Please note that corrections may take a couple of weeks to filter through the various RePEc services.

    IDEAS is a RePEc service. RePEc uses bibliographic data supplied by the respective publishers.