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 InfoPaper provided by University of Essex, Department of Economics in its series Economics Discussion Papers with number 661.
Date of creation: 20 Oct 2008
Date of revision:
Postal: Discussion Papers Administrator, Department of Economics, University of Essex, Wivenhoe Park, Colchester CO4 3SQ, U.K.
Other versions of this item:
- Geert Dhaene & J. M. C. Santos Silva, 2012. "Specification and testing of models estimated by quadrature," Journal of Applied Econometrics, John Wiley & Sons, Ltd., vol. 27(2), pages 322-332, 03.
- Dhaene, Geert & Santos Silva, J.M.C., 2012. "Specification and testing of models estimated by quadrature," Open Access publications from Katholieke Universiteit Leuven urn:hdl:123456789/281080, Katholieke Universiteit Leuven.
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