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, University of Essex, Department of Economics 661, University of Essex, Department of Economics.
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- Horowitz, Joel L., 1994. "Bootstrap-based critical values for the information matrix test," Journal of Econometrics, Elsevier, Elsevier, vol. 61(2), pages 395-411, April.
- MacKinnon, James G & Magee, Lonnie, 1990. "Transforming the Dependent Variable in Regression Models," International Economic Review, Department of Economics, University of Pennsylvania and Osaka University Institute of Social and Economic Research Association, Department of Economics, University of Pennsylvania and Osaka University Institute of Social and Economic Research Association, vol. 31(2), pages 315-39, May.
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