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Geert Dhaene
;
J.M.C. Santos Silva

specification and testing of models estimated by quadrature (replication data)

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.

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Dhaene, Geert; Silva, J.M.C. Santos (2012): Specification and testing of models estimated by quadrature (replication data). Version: 1. Journal of Applied Econometrics. Dataset. http://dx.doi.org/10.15456/jae.2022320.0724059909

Related Publication

Dhaene, G. and Santos Silva, J. (2012), Specification And Testing Of Models Estimated By Quadrature, Journal of Applied Econometrics, 27(2), 322-332. https://doi.org/10.1002/jae.1196