Specification and Testing of Models Estimated by Quadrature

Geert Dhaene and João Santos Silva

Economics Discussion Papers from University of Essex, Department of Economics

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.

Date: 2008
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Journal Article: Specification and testing of models estimated by quadrature (2012)
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