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Specification and testing of models estimated by quadrature

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  • Geert Dhaene
  • J. M. C. Santos Silva

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 data set illustrate the finite sample properties of the proposed methods and their implementation in practice.
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Suggested Citation

  • Geert Dhaene & J. M. C. Santos Silva, 2012. "Specification and testing of models estimated by quadrature," Journal of Applied Econometrics, John Wiley & Sons, Ltd., vol. 27(2), pages 322-332, March.
    • Handle: RePEc:wly:japmet:v:27:y:2012:i:2:p:322-332
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    1. MacKinnon, James G & Magee, Lonnie, 1990. "Transforming the Dependent Variable in Regression Models," International Economic Review, Department of Economics, University of Pennsylvania and Osaka University Institute of Social and Economic Research Association, vol. 31(2), pages 315-339, May.
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    5. Horowitz, J.L. & Savin, N.E., 1998. "Empirically Relevant Critical Values For Hypothesis Tests: The Bootstrap to the Rescue," Working Papers 98-07, University of Iowa, Department of Economics.
    6. Horowitz, Joel L., 1994. "Bootstrap-based critical values for the information matrix test," Journal of Econometrics, Elsevier, vol. 61(2), pages 395-411, April.
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    2. Helmut Farbmacher, 2013. "Extensions Of Hurdle Models For Overdispersed Count Data," Health Economics, John Wiley & Sons, Ltd., vol. 22(11), pages 1398-1404, November.

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