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Variable Augmentation Specification Tests in the Exponential Family

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  • Gurmu, Shiferaw
  • Trivedi, Pravin K.

Abstract

This paper motivates, exposits, and develops the variable augmentation specification test (VAST) approach from the perspective of generalized linear exponential family, which includes several parametric families widely used in applied econometrics and statistics. The approach is equivalent to score tests and link tests and serves to both unify and simplify the computation of score tests in such models using the Engle-Davidson-MacKinnon technique of artificial regression. Specification tests for both the mean and the variance components are treated symmetrically. Several theoretical applications are discussed.

Suggested Citation

  • Gurmu, Shiferaw & Trivedi, Pravin K., 1993. "Variable Augmentation Specification Tests in the Exponential Family," Econometric Theory, Cambridge University Press, vol. 9(1), pages 94-113, January.
    • Handle: RePEc:cup:etheor:v:9:y:1993:i:01:p:94-113_00
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    Cited by:

    1. Papke, Leslie E & Wooldridge, Jeffrey M, 1996. "Econometric Methods for Fractional Response Variables with an Application to 401(K) Plan Participation Rates," Journal of Applied Econometrics, John Wiley & Sons, Ltd., vol. 11(6), pages 619-632, Nov.-Dec..
    2. HEINEN, Andréas, 2003. "Modelling time series count data: an autoregressive conditional Poisson model," LIDAM Discussion Papers CORE 2003062, Université catholique de Louvain, Center for Operations Research and Econometrics (CORE).
    3. Lundevaller, Erling Häggström, 2009. "The effect of travel cost on frequencies of shopping and recreational trips in Sweden," Journal of Transport Geography, Elsevier, vol. 17(3), pages 208-215.

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