EconPapers    
Economics at your fingertips  
 

Testing for the omission of relevant variables and regime-switching misspecification

Andrea Beccarini ()
Additional contact information
Andrea Beccarini: University of Muenster

Empirical Economics, 2019, vol. 56, issue 3, No 1, 775-796

Abstract: Abstract This article shows that the interpretation of statistical evidence of regime-switching is not unambiguous. The usual interpretation is that some parameters switch according to the values of a predefined latent variable. An alternative interpretation is that regime-switching, as a statistical evidence, is also possible when the linear model is underspecified and the omitted variable bias emerges. A formal test is proposed to verify a potentially spurious regression with regime-switching. Through this test, it is evident that regime-switching estimates presented in an academic paper, should be interpreted as a consequence of the misspecification considered here.

Keywords: Regime-switching estimator; Omitted variable bias; Quadratic form; Misspecification (search for similar items in EconPapers)
JEL-codes: C12 C34 C52 (search for similar items in EconPapers)
Date: 2019
References: View references in EconPapers View complete reference list from CitEc
Citations: Track citations by RSS feed

Downloads: (external link)
http://link.springer.com/10.1007/s00181-017-1373-8 Abstract (text/html)
Access to the full text of the articles in this series is restricted.

Related works:
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:spr:empeco:v:56:y:2019:i:3:d:10.1007_s00181-017-1373-8

Ordering information: This journal article can be ordered from
http://www.springer. ... rics/journal/181/PS2

DOI: 10.1007/s00181-017-1373-8

Access Statistics for this article

Empirical Economics is currently edited by Robert M. Kunst, Arthur H.O. van Soest, Bertrand Candelon, Subal C. Kumbhakar and Joakim Westerlund

More articles in Empirical Economics from Springer
Bibliographic data for series maintained by Sonal Shukla ().

 
Page updated 2020-04-23
Handle: RePEc:spr:empeco:v:56:y:2019:i:3:d:10.1007_s00181-017-1373-8