A simple and effective misspecification test for the double-hurdle model

The commonly-used version of the double-hurdle model rests on a rather restrictive set of statistical assumptions, which are very seldom tested by practitioners, mainly because of the lack of a standard procedure for doing so, although violation of such assumptions can lead to serious modelling flaws. We propose here a bootstrap-corrected conditional moment portmanteau test which is simple to implement and has good size and power properties.

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Year of publication:	2014
Authors:	Lucchetti, Riccardo ; Pigini, Claudia
Published in:	Economics Letters. - Elsevier, ISSN 0165-1765. - Vol. 123.2014, 1, p. 75-78
Publisher:	Elsevier
Subject:	Information matrix test \| Bootstrap \| Double-hurdle model

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Type of publication:	Article
Classification:	C12 - Hypothesis Testing ; C15 - Statistical Simulation Methods; Monte Carlo Methods ; C02 - Mathematical Methods
Source:	RePEc - Research Papers in Economics

Persistent link: https://www.econbiz.de/10010743732