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Two Misspecification Tests for the Simple Switching Regressions Disequilibrium Model

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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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File URL: http://cowles.econ.yale.edu/P/cd/d07b/d0792.pdf
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Paper provided by Cowles Foundation for Research in Economics, Yale University in its series Cowles Foundation Discussion Papers with number 792.

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Length: 10 pages
Date of creation: May 1986
Date of revision:
Publication status: Published in Economics Letters (1986), 22: 343-348
Handle: RePEc:cwl:cwldpp:792

Note: CFP 673.
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Web page: http://cowles.econ.yale.edu/
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Postal: Cowles Foundation, Yale University, Box 208281, New Haven, CT 06520-8281 USA

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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, 1993. "Testing Game-Theoretic Models of Price Fixing Behaviour," Working Papers _017, 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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