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 InfoPaper provided by Cowles Foundation for Research in Economics, Yale University in its series Cowles Foundation Discussion Papers with number 792.
Length: 10 pages
Date of creation: May 1986
Date of revision:
Publication status: Published in Economics Letters (1986), 22: 343-348
Note: CFP 673.
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Postal: Cowles Foundation, Yale University, Box 208281, New Haven, CT 06520-8281 USA
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- Hajivassiliou, Vassilis Argyrou, 1986. "Two misspecification tests for the simple switching regressions disequilibrium model," Economics Letters, Elsevier, vol. 22(4), pages 343-348.
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