Specification tests for a parsimonious random-effects model
A random-effect model is devised with individual- and time-specific components for uncensored data, based on a specification for censored data developed by Anderson (1985) and extended by Kim and Maddala (1992). In addition, specification tests are devised that allow one to choose between the model and a conventional random-effects model.
Volume (Year): 13 (2006)
Issue (Month): 15 ()
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- M. H. Pesaran, 1974. "On the General Problem of Model Selection," Review of Economic Studies, Oxford University Press, vol. 41(2), pages 153-171.
- Davidson, Russell & MacKinnon, James G, 1981.
"Several Tests for Model Specification in the Presence of Alternative Hypotheses,"
Econometric Society, vol. 49(3), pages 781-93, May.
- Russell Davidson & James G. MacKinnon, 1980. "Several Tests for Model Specification in the Presence of Alternative Hypotheses," Working Papers 378, Queen's University, Department of Economics.
- Russell Davidson & James G. Mackinnon, 1982. "Some Non-Nested Hypothesis Tests and the Relations Among Them," Review of Economic Studies, Oxford University Press, vol. 49(4), pages 551-565.
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