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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
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