Variable Augmentation Specification Tests in the Exponential Family
This paper motivates, exposits, and develops the variable augmentation specification test (VAST) approach from the perspective of generalized linear exponential family, which includes several parametric families widely used in applied econometrics and statistics. The approach is equivalent to score tests and link tests and serves to both unify and simplify the computation of score tests in such models using the Engle-Davidson-MacKinnon technique of artificial regression. Specification tests for both the mean and the variance components are treated symmetrically. Several theoretical applications are discussed.
Volume (Year): 9 (1993)
Issue (Month): 01 (January)
|Contact details of provider:|| Postal: |
Web page: http://journals.cambridge.org/jid_ECT
When requesting a correction, please mention this item's handle: RePEc:cup:etheor:v:9:y:1993:i:01:p:94-113_00. See general information about how to correct material in RePEc.
For technical questions regarding this item, or to correct its authors, title, abstract, bibliographic or download information, contact: (Keith Waters)
If you have authored this item and are not yet registered with RePEc, we encourage you to do it here. This allows to link your profile to this item. It also allows you to accept potential citations to this item that we are uncertain about.
If references are entirely missing, you can add them using this form.
If the full references list an item that is present in RePEc, but the system did not link to it, you can help with this form.
If you know of missing items citing this one, you can help us creating those links by adding the relevant references in the same way as above, for each refering item. If you are a registered author of this item, you may also want to check the "citations" tab in your profile, as there may be some citations waiting for confirmation.
Please note that corrections may take a couple of weeks to filter through the various RePEc services.