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

C-Tier
Journal: Economics Letters
Year: 2014
Volume: 123
Issue: 1
Pages: 75-78

Score contribution per author:

0.503 = (α=2.01 / 2 authors) × 0.5x C-tier

α: calibrated so average coauthorship-adjusted count equals average raw count

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.

Technical Details

RePEc Handle
repec:eee:ecolet:v:123:y:2014:i:1:p:75-78
Journal Field
General
Author Count
2
Added to Database
2026-01-25