Specification and testing of models estimated by quadrature

This 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 f...

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Bibliographic Details
Published in:Journal of applied econometrics (Chichester, England) England), 2012-03, Vol.27 (2), p.322-332
Main Authors: Dhaene, Geert, Santos Silva, J. M. C.
Format: Article
Language:English
Subjects:
Approximation
Critical values
Data analysis
Datasets
Econometric models
Economic models
Economic theory
Estimating techniques
Estimation methods
Geometric lines
Mathematical independent variables
Model testing
Modeling
Monte Carlo simulation
Parametric models
Quadrature
Regression analysis
Samples
Specification
Studies
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Summary:This 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.
ISSN:0883-7252
1099-1255
DOI:10.1002/jae.1196