CFDP 792
Two Misspecification Tests for the Simple Switching Regressions Disequilibrium Model
Author(s):Publication Date: April 1986
Pages: 11
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.
See CFP: 673