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 dataset illustrate the finite sample properties of the proposed methods and their implementation in practice.
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Bibliographic InfoPaper provided by Katholieke Universiteit Leuven in its series Open Access publications from Katholieke Universiteit Leuven with number urn:hdl:123456789/281080.
Date of creation: 2012
Date of revision:
Publication status: Published in Journal of Applied Econometrics (2012) v.27, p.322-332
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Web page: http://www.kuleuven.be
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.
- 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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