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Two misspecification tests for the simple switching regressions disequilibrium model

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  • Hajivassiliou, Vassilis Argyrou

Abstract

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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  • Hajivassiliou, Vassilis Argyrou, 1986. "Two misspecification tests for the simple switching regressions disequilibrium model," Economics Letters, Elsevier, vol. 22(4), pages 343-348.
    • Handle: RePEc:eee:ecolet:v:22:y:1986:i:4:p:343-348
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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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