Two misspecification tests for the simple switching regressions disequilibrium model
AbstractTwo 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.
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Bibliographic InfoArticle provided by Elsevier in its journal Economics Letters.
Volume (Year): 22 (1986)
Issue (Month): 4 ()
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Other versions of this item:
- Vassilis A. Hajivassiliou, 1986. "Two Misspecification Tests for the Simple Switching Regressions Disequilibrium Model," Cowles Foundation Discussion Papers 792, Cowles Foundation for Research in Economics, Yale University.
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- Hajivassiliou, 1993.
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- Vassilis A. Hajivassiliou, 1990. "Testing Game Theoretic Models of Price-Fixing Behaviour," Cowles Foundation Discussion Papers 935, Cowles Foundation for Research in Economics, Yale University.
- Owen O'Donnell, 1998. "The Effect of Disability on Employment Allowing for Work Incapacity," Studies in Economics 9813, Department of Economics, University of Kent.
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