Specification and testing of models estimated by quadrature |
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| Authors: | Geert Dhaene J M C Santos Silva |
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| Institution: | 1. Department of Economics, Katholieke Universiteit Leuven, Leuven, Belgium;2. Department of Economics, University of Essex, UK;3. CEMAPRE, Lisbon, Portugal |
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| Abstract: | 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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