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Specification tests for a parsimonious random-effects model

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  • Viviana Fernandez

Abstract

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.

Suggested Citation

  • Viviana Fernandez, 2006. "Specification tests for a parsimonious random-effects model," Applied Economics Letters, Taylor & Francis Journals, vol. 13(15), pages 1009-1012.
  • Handle: RePEc:taf:apeclt:v:13:y:2006:i:15:p:1009-1012
    DOI: 10.1080/13504850500425766
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    References listed on IDEAS

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    1. M. H. Pesaran, 1974. "On the General Problem of Model Selection," Review of Economic Studies, Oxford University Press, vol. 41(2), pages 153-171.
    2. 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.
    3. Davidson, Russell & MacKinnon, James G, 1981. "Several Tests for Model Specification in the Presence of Alternative Hypotheses," Econometrica, Econometric Society, vol. 49(3), pages 781-793, May.
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    Cited by:

    1. Viviana Fernandez, 2011. "The Driving Factors of Firm Investment: Latin American Evidence," Emerging Markets Finance and Trade, M.E. Sharpe, Inc., vol. 47(5), pages 4-26, September.
    2. Fernandez, Viviana, 2014. "Stock volatility and pension funds under an individual capitalization-based system," Journal of Business Research, Elsevier, vol. 67(4), pages 536-541.

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