Specification and testing of models estimated by quadrature
AbstractThis paper proposes a test to check the specification of models with unobserved individual effects integrated out by quadrature and also a simple way of increasing the flexibility of this type of model. The results of a Monte Carlo study and an application using a well-known data set illustrate the finite sample properties of the proposed methods and their implementation in practice.
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Bibliographic InfoArticle provided by John Wiley & Sons, Ltd. in its journal Journal of Applied Econometrics.
Volume (Year): 27 (2012)
Issue (Month): 2 (03)
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Web page: http://www.interscience.wiley.com/jpages/0883-7252/
Other versions of this item:
- Geert Dhaene & J.M.C. Santos Silva, 2008. "Specification and Testing of Models Estimated by Quadrature," Economics Discussion Papers 661, University of Essex, Department of Economics.
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