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 flaws. We propose here a bootstrap-corrected conditional moment portmanteau test which is simple to implement and has good size and power properties.
A simple and effective misspecification test for the double-hurdle model / Lucchetti, Riccardo; Pigini, Claudia. - In: ECONOMICS LETTERS. - ISSN 0165-1765. - 123:(2014), pp. 75-78. [10.1016/j.econlet.2014.01.022]
A simple and effective misspecification test for the double-hurdle model
LUCCHETTI, Riccardo;PIGINI, CLAUDIA
2014-01-01
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 flaws. We propose here a bootstrap-corrected conditional moment portmanteau test which is simple to implement and has good size and power properties.I documenti in IRIS sono protetti da copyright e tutti i diritti sono riservati, salvo diversa indicazione.
