This paper present a simple procedure for comparing two regression models that are intrinsically nonnested. The procedure requires only conditional moment conditions and the test statistic is computable from 2SLS output via auxiliary 2SLS regressions. Furthermore, unlike previous procedures, the...

This book presents econometric methods for the analysis of event counts. It reviews the recent literature and introduces several new results. While the emphasis is on methods for cross-section data, the modelling of time series and panel count data is discussed as well. Topics include: dependent...

This paper introduces two-parameter exponential family distributions into the stochastic components of generalized linear models (GLMs), in order to model patterns of dispersion unexpected under ordinary GLMs, including overdispersion and underdispersion. Exponential regression models can be...

Additive and Generalized Additive Models (GAM) are discussed as completely nonparametric alternatives to Generalized Linear Models (GLM). Single Index Models (SIM) are reviewed as a means of nonparametrically specifying the link function in GLMs. Semiparametric models with a single as well as a...

Spline smoothing in non- or semiparametric regression models is usually based on the roughness penalty approach. For regression with normal errors, the spline smoother also has a Bayesian justification: Placing a smoothness prior over the regression function, it is the mean of the posterior...