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Two misspecification tests for the simple switching regressions disequilibrium model

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  • Hajivassiliou, Vassilis Argyrou

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.

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Bibliographic Info

Article provided by Elsevier in its journal Economics Letters.

Volume (Year): 22 (1986)
Issue (Month): 4 ()
Pages: 343-348

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Handle: RePEc:eee:ecolet:v:22:y:1986:i:4:p:343-348

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Web page: http://www.elsevier.com/locate/ecolet

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Cited by:
  1. Hajivassiliou, V A, 1994. "A Simulation Estimation Analysis of the External Debt Crises of Developing Countries," Journal of Applied Econometrics, John Wiley & Sons, Ltd., vol. 9(2), pages 109-31, April-Jun.
  2. 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.
  3. 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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