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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.