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

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  • Lucchetti, Riccardo
  • Pigini, Claudia

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.

Suggested Citation

  • Lucchetti, Riccardo & Pigini, Claudia, 2014. "A simple and effective misspecification test for the double-hurdle model," Economics Letters, Elsevier, vol. 123(1), pages 75-78.
    • Handle: RePEc:eee:ecolet:v:123:y:2014:i:1:p:75-78
    DOI: 10.1016/j.econlet.2014.01.022
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    1. Bettin, Giulia & Lucchetti, Riccardo & Zazzaro, Alberto, 2012. "Endogeneity and sample selection in a model for remittances," Journal of Development Economics, Elsevier, vol. 99(2), pages 370-384.
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    13. Riccardo Lucchetti & Claudia Pigini, 2013. "A test for bivariate normality with applications in microeconometric models," Statistical Methods & Applications, Springer;Società Italiana di Statistica, vol. 22(4), pages 535-572, November.
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    More about this item

    Keywords

    Information matrix test; Bootstrap; Double-hurdle model;
    All these keywords.

    JEL classification:

    • C12 - Mathematical and Quantitative Methods - - Econometric and Statistical Methods and Methodology: General - - - Hypothesis Testing: General
    • C15 - Mathematical and Quantitative Methods - - Econometric and Statistical Methods and Methodology: General - - - Statistical Simulation Methods: General
    • C02 - Mathematical and Quantitative Methods - - General - - - Mathematical Economics

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