EconPapers    
Economics at your fingertips  
 

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

Abstract: 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)
Date: 2014
References: View references in EconPapers View complete reference list from CitEc
Citations: View citations in EconPapers (1) Track citations by RSS feed

Downloads: (external link)
http://www.sciencedirect.com/science/article/pii/S0165176514000305
Full text for ScienceDirect subscribers only

Related works:
Working Paper: A simple and effective misspecification test for the double-hurdle model (2014) Downloads
This item may be available elsewhere in EconPapers: Search for items with the same title.

Export reference: BibTeX RIS (EndNote, ProCite, RefMan) HTML/Text

Persistent link: https://EconPapers.repec.org/RePEc:eee:ecolet:v:123:y:2014:i:1:p:75-78

Access Statistics for this article

Economics Letters is currently edited by Economics Letters Editorial Office

More articles in Economics Letters from Elsevier
Bibliographic data for series maintained by Dana Niculescu ().

 
Page updated 2019-07-20
Handle: RePEc:eee:ecolet:v:123:y:2014:i:1:p:75-78