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Specification tests for a parsimonious random-effects model

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  • Viviana Fernandez

Abstract

A random-effect model is devised with individual- and time-specific components for uncensored data, based on a specification for censored data developed by Anderson (1985) and extended by Kim and Maddala (1992). In addition, specification tests are devised that allow one to choose between the model and a conventional random-effects model.

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File URL: http://www.informaworld.com/openurl?genre=article&doi=10.1080/13504850500425766&magic=repec&7C&7C8674ECAB8BB840C6AD35DC6213A474B5
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Bibliographic Info

Article provided by Taylor & Francis Journals in its journal Applied Economics Letters.

Volume (Year): 13 (2006)
Issue (Month): 15 ()
Pages: 1009-1012

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Handle: RePEc:taf:apeclt:v:13:y:2006:i:15:p:1009-1012

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  1. Davidson, Russell & MacKinnon, James G, 1981. "Several Tests for Model Specification in the Presence of Alternative Hypotheses," Econometrica, Econometric Society, vol. 49(3), pages 781-93, May.
  2. Russell Davidson & James G. MacKinnon, 1980. "Some Non-Nested Hypothesis Tests and the Relations Among Them," Working Papers 409, Queen's University, Department of Economics.
  3. Pesaran, M H, 1974. "On the General Problem of Model Selection," Review of Economic Studies, Wiley Blackwell, vol. 41(2), pages 153-71, April.
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Cited by:
  1. Fernandez, Viviana, 2014. "Stock volatility and pension funds under an individual capitalization-based system," Journal of Business Research, Elsevier, vol. 67(4), pages 536-541.

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