Specification and testing of models estimated by quadrature | Zendy

Dhaene Geert | Zendy; Santos Silva J. M. C. | Zendy

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Specification and testing of models estimated by quadrature

Author(s) -

Dhaene Geert,

Santos Silva J. M. C.

Publication year - 2012

Publication title -

journal of applied econometrics

Language(s) - English

Resource type - Journals

SCImago Journal Rank - 2.878

H-Index - 99

eISSN - 1099-1255

pISSN - 0883-7252

DOI - 10.1002/jae.1196

Subject(s) - monte carlo method , computer science , quadrature (astronomy) , flexibility (engineering) , econometrics , sample (material) , simple (philosophy) , mathematics , statistics , engineering , electrical engineering , philosophy , chemistry , epistemology , chromatography

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. Copyright © 2010 John Wiley & Sons, Ltd.

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