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