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 aws. 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:	2014-01
Authors:	LUCCHETTI, Riccardo ; PIGINI, Claudia
Institutions:	Dipartimento di Scienze Economiche e Sociali, Facoltà di Economia "Giorgio Fuà"
Subject:	Bootstrap \| Double-Hurdle model \| Information Matrix Test

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Extent:	application/pdf
Series:	Working Papers. - ISSN 2279-9575.
Type of publication:	Book / Working Paper
Notes:	Number 397 1 pages long
Classification:	C02 - Mathematical Methods ; C12 - Hypothesis Testing ; C15 - Statistical Simulation Methods; Monte Carlo Methods
Source:	RePEc - Research Papers in Economics

Persistent link: https://www.econbiz.de/10010878453