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A simple and effective misspecification test for the double-hurdle model

Riccardo (Jack) Lucchetti () and Claudia Pigini ()

No 397, Working Papers from Universita' Politecnica delle Marche (I), Dipartimento di Scienze Economiche e Sociali

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 aws. We propose here a bootstrap-corrected conditional moment portmanteau test which is simple to implement and has good size and power properties.

Keywords: Bootstrap; Double-Hurdle model; Information Matrix Test (search for similar items in EconPapers)
JEL-codes: C02 C12 C15 (search for similar items in EconPapers)
New Economics Papers: this item is included in nep-ecm
Date: 2014-01
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