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
Other versions of this item:
- 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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- 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.
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- Hajivassiliou, 1993. "A Simulation Estimation Analysis of the External Debt Crises of Developing Countries," Cowles Foundation Discussion Papers 1057, Cowles Foundation for Research in Economics, Yale University.
- Vassilis A. Hajivassiliou, 1993.
"Testing Game-Theoretic Models of Price Fixing Behaviour,"
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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.
- V A Hajivassiliou, 1997. "Testing Game-Theoretic Models of Price Fixing Behaviour," STICERD - Econometrics Paper Series /1997/324, Suntory and Toyota International Centres for Economics and Related Disciplines, LSE.
- 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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