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A simple and effective misspecification test for the double-hurdle model

Author

Listed:
  • Riccardo LUCCHETTI

    () (Universit… Politecnica delle Marche, Dipartimento di Scienze Economiche e Sociali)

  • Claudia PIGINI

    () (Universit… di Perugia)

Abstract

The commonly-used version of the double-hurdle model rests on a rather restrictive set of statistical assumptions, which are very seldom tested by practitioners, mainly because of the lack of a standard procedure for doing so, although violation of such assumptions can lead to serious modelling aws. We propose here a bootstrap-corrected conditional moment portmanteau test which is simple to implement and has good size and power properties.

Suggested Citation

  • Riccardo LUCCHETTI & Claudia PIGINI, 2014. "A simple and effective misspecification test for the double-hurdle model," Working Papers 397, Universita' Politecnica delle Marche (I), Dipartimento di Scienze Economiche e Sociali.
  • Handle: RePEc:anc:wpaper:397
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    References listed on IDEAS

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    1. Bettin, Giulia & Lucchetti, Riccardo & Zazzaro, Alberto, 2012. "Endogeneity and sample selection in a model for remittances," Journal of Development Economics, Elsevier, vol. 99(2), pages 370-384.
    2. Russell Davidson & James G. MacKinnon, 1999. "Artificial Regressions," Working Papers 978, Queen's University, Department of Economics.
    3. JAMES G. MacKINNON, 2006. "Bootstrap Methods in Econometrics," The Economic Record, The Economic Society of Australia, vol. 82(s1), pages 2-18, September.
    4. Francisco Cribari-Neto, 1997. "On the corrections to information matrix tests," Econometric Reviews, Taylor & Francis Journals, vol. 16(1), pages 39-53.
    5. Riccardo Lucchetti & Claudia Pigini, 2013. "A test for bivariate normality with applications in microeconometric models," Statistical Methods & Applications, Springer;Società Italiana di Statistica, vol. 22(4), pages 535-572, November.
    6. Mitali Das & Whitney K. Newey & Francis Vella, 2003. "Nonparametric Estimation of Sample Selection Models," Review of Economic Studies, Oxford University Press, vol. 70(1), pages 33-58.
    7. Horowitz, Joel L., 1994. "Bootstrap-based critical values for the information matrix test," Journal of Econometrics, Elsevier, vol. 61(2), pages 395-411, April.
    8. Blundell, Richard & Ham, John & Meghir, Costas, 1987. "Unemployment and Female Labour Supply," Economic Journal, Royal Economic Society, vol. 97(388a), pages 44-64, Supplemen.
    9. Jones, Andrew M, 1989. "A Double-Hurdle Model of Cigarette Consumption," Journal of Applied Econometrics, John Wiley & Sons, Ltd., vol. 4(1), pages 23-39, Jan.-Mar..
    10. Cragg, John G, 1971. "Some Statistical Models for Limited Dependent Variables with Application to the Demand for Durable Goods," Econometrica, Econometric Society, vol. 39(5), pages 829-844, September.
    11. Smith, Richard J., 1987. "Testing the normality assumption in multivariate simultaneous limited dependent variable models," Journal of Econometrics, Elsevier, vol. 34(1-2), pages 105-123.
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    Cited by:

    1. Jörg Schwiebert, 2016. "Evidence on copula-based double-hurdle models with flexible margins," Empirical Economics, Springer, vol. 51(1), pages 245-289, August.

    More about this item

    Keywords

    Bootstrap; Double-Hurdle model; Information Matrix Test;

    JEL classification:

    • C02 - Mathematical and Quantitative Methods - - General - - - Mathematical Economics
    • C12 - Mathematical and Quantitative Methods - - Econometric and Statistical Methods and Methodology: General - - - Hypothesis Testing: General
    • C15 - Mathematical and Quantitative Methods - - Econometric and Statistical Methods and Methodology: General - - - Statistical Simulation Methods: General

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