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)
Pages: 13
Date: 2014-01
New Economics Papers: this item is included in nep-ecm
References: View references in EconPapers View complete reference list from CitEc
Citations: View citations in EconPapers (3)

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Journal Article: A simple and effective misspecification test for the double-hurdle model (2014)
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Persistent link: https://EconPapers.repec.org/RePEc:anc:wpaper:397

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