Two Misspecification Tests for the Simple Switching Regressions Disequilibrium Model

Vassilis Hajivassiliou

No 792, Cowles Foundation Discussion Papers from Cowles Foundation for Research in Economics, Yale University

Abstract: Two specification tests for switching regimes disequilibrium models are developed. The first is an asymptotically locally optimal Lagrange multiplier test of endogeneity of a set of regressors, which takes the convenient form of a LM significance-test of certain regression residuals. The second is a Hausman specification test of the accuracy of regime classification information.

Pages: 10 pages
Date: 1986-05
Note: CFP 673.
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Citations: View citations in EconPapers (3)

Published in Economics Letters (1986), 22: 343-348

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