Dhaene, Geert et C. Santos Silva, J. M., Specification and testing of models estimated by quadrature, Journal of applied econometrics , 27(2), 2012, pp. 322-332
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.