Variable Augmentation Specification Tests in the Exponential Family

B-Tier
Journal: Econometric Theory
Year: 1993
Volume: 9
Issue: 1
Pages: 94-113

Score contribution per author:

1.005 = (α=2.01 / 2 authors) × 1.0x B-tier

α: calibrated so average coauthorship-adjusted count equals average raw count

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.

Technical Details

RePEc Handle
repec:cup:etheor:v:9:y:1993:i:01:p:94-113_00
Journal Field
Econometrics
Author Count
2
Added to Database
2026-01-25