This paper suggests a simple specification test to check the adequacy of the assumptions made about the distribution of individual effects in models where these unobservable random variables are integrated out by quadrature methods. Because the proposed test checks the specification of the finite-mixture analogue of the model of interest, it also has power to detect other forms of misspecification. Additionally, it is shown that it is easy to increase the flexibility of models with unobserved individual effects. The results of a Monte Carlo study and an application using a well known data set are presented to illustrate the finite sample properties of the proposed methods and their implementation in practice.
Download Info
To download:
If you experience problems downloading a file, check if you have the
proper application to
view it first. Information about this may be contained
in the File-Format links below. In case of further problems read
the IDEAS help
page. Note that these files are not on the IDEAS
site. Please be patient as the files may be large.
Publisher Info
Paper provided by University of Essex, Department of Economics in its series Economics Discussion Papers with number
661.
References listed on IDEAS Please report citation or reference errors to , or , if you are the registered author of the cited work, log in to your RePEc Author Service profile, click on "citations" and make appropriate adjustments.:
Did you know? You can create a compilation of all publications of a group of people, say alumni of a program, your students or memers of an association.