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Variable Augmentation Specification Tests in the Exponential Family

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  • Gurmu, Shiferaw
  • Trivedi, Pravin K.

Abstract

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.

Suggested Citation

  • Gurmu, Shiferaw & Trivedi, Pravin K., 1993. "Variable Augmentation Specification Tests in the Exponential Family," Econometric Theory, Cambridge University Press, vol. 9(01), pages 94-113, January.
  • Handle: RePEc:cup:etheor:v:9:y:1993:i:01:p:94-113_00
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    Cited by:

    1. Heinen, Andreas, 2003. "Modelling Time Series Count Data: An Autoregressive Conditional Poisson Model," MPRA Paper 8113, University Library of Munich, Germany.
    2. Papke, Leslie E & Wooldridge, Jeffrey M, 1996. "Econometric Methods for Fractional Response Variables with an Application to 401(K) Plan Participation Rates," Journal of Applied Econometrics, John Wiley & Sons, Ltd., vol. 11(6), pages 619-632, Nov.-Dec..

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