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Two Misspecification Tests for the Simple Switching Regressions Disequilibrium Model



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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  • Vassilis A. Hajivassiliou, 1986. "Two Misspecification Tests for the Simple Switching Regressions Disequilibrium Model," Cowles Foundation Discussion Papers 792, Cowles Foundation for Research in Economics, Yale University.
  • Handle: RePEc:cwl:cwldpp:792
    Note: CFP 673.

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    References listed on IDEAS

    1. Richard P. Bagozzi & Alvin J. Silk, 1983. "Recall, Recognition, and the Measurement of Memory for Print Advertisements," Marketing Science, INFORMS, vol. 2(2), pages 95-134.
    2. De Bondt, Werner F M & Thaler, Richard, 1985. " Does the Stock Market Overreact?," Journal of Finance, American Finance Association, vol. 40(3), pages 793-805, July.
    3. Reinganum, Marc R., 1981. "Misspecification of capital asset pricing : Empirical anomalies based on earnings' yields and market values," Journal of Financial Economics, Elsevier, vol. 9(1), pages 19-46, March.
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    Cited by:

    1. Owen O'Donnell, 1998. "The Effect of Disability on Employment Allowing for Work Incapacity," Studies in Economics 9813, School of Economics, University of Kent.
    2. 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.
    3. 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 109-131, April-Jun.

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