A simple and effective misspecification test for the double-hurdle model
Riccardo (Jack) Lucchetti () and
Claudia Pigini ()
Economics Letters, 2014, vol. 123, issue 1, 75-78
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.
Keywords: Information matrix test; Bootstrap; Double-hurdle model (search for similar items in EconPapers)
JEL-codes: C12 C15 C02 (search for similar items in EconPapers)
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Working Paper: A simple and effective misspecification test for the double-hurdle model (2014)
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Persistent link: https://EconPapers.repec.org/RePEc:eee:ecolet:v:123:y:2014:i:1:p:75-78
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