A Consistent Test for the Parametric Specification of the Hazard Function
AbstractThis paper develops a consistent test for the correct hazard rate specification within the context of random right hand censoring of the dependent variable. The test is based on comparing a parametric estimate with a kernel estimate of the hazard rate. We establish the asymptotic distribution of the test statistic under the null hypothesis of correct parametric specification of the hazard rate and establish the consistency of the test.
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Bibliographic InfoArticle provided by Society for AEF in its journal Annals of Economics and Finance.
Volume (Year): 2 (2001)
Issue (Month): 1 (May)
Consistent test; Hazard rate; Random censoring; Kernel estimation; Boundary kernel;
Find related papers by JEL classification:
- C14 - Mathematical and Quantitative Methods - - Econometric and Statistical Methods and Methodology: General - - - Semiparametric and Nonparametric Methods: General
- C52 - Mathematical and Quantitative Methods - - Econometric Modeling - - - Model Evaluation, Validation, and Selection
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- Xiaohong Chen & Yanqin Fan & Andrew J. Patton, 2004.
"Simple tests for models of dependence between multiple financial time series, with applications to U.S. equity returns and exchange rates,"
LSE Research Online Documents on Economics
24681, London School of Economics and Political Science, LSE Library.
- Andrew Patton & Yanqin Fan & Xiaohong Chen, 2004. "Simple Tests for Models of Dependence Between Multiple Financial Time Series, with Applications to U.S. Equity Returns and Exchange Rates," Working Papers wp04-19, Warwick Business School, Finance Group.
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