Inference on common parameters in panel data models with individual-specific fixed effects is a classic example of Neyman and Scott's (Econometrica 36:1-32, 1948) incidental parameter problem (IPP). One solution to this IPP is functional differencing (Bonhomme in Econometrica 80(4):1337-1385,...

We study the behaviour of the information matrix (IM) test when maximum likelihood estimators are replaced with robust estimators. The latter may unmask outliers and hence improve the power of the test. We investigate in detail the local asymptotic power of the IM test in the normal model, for...

We experimentally test Dufwenberg and Kirchsteiger’s (2004) theory of sequential reciprocity in a sequential prisoner’s dilemma (SPD) and a mini-ultimatum game (MUG). Data on behavior and first- and second-order beliefs allow us to classify each subject’s behavior as a material best...

In this note we propose a general testing procedure for parametric models based on Bartlett Identities. A well-know example is the Information Matrix test, which is based on the Bartlett Identity of order 1. The Identities are shown to induce a sequence of testable restrictions on the data...

Two extensions of a parametric model are proposed, each one involving the score function of an alternative parametric model. We show that the encompassing hypothesis is equivalent to standard conditions on the score of each of the extended models. The condition on the first extension gives rise...

We propose an information matrix test in which the covariance matrix of the vector of indicators is estimated using the parametric bootstrap. Monte Carlo results and heuristic arguments show that its small sample performance is comparable with that of the efficient score form.

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...

We experimentally test Dufwenberg and Kirchsteiger’s (2004) theory of sequential reciprocity in a sequential prisoner’s dilemma (SPD) and a mini-ultimatum game (MUG). Data on subjects’ behavior and firstand second-order beliefs allow us to classify their behavior as a material best...