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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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    11. 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.
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    More about this item

    Keywords

    Bootstrap; Double-Hurdle model; Information Matrix Test;
    All these keywords.

    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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