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Bootstrapping the conditional moment test for parametric duration models

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  • James Prieger

Abstract

The performance of auxiliary regression-based specification tests for parametric duration models estimated with censored data is evaluated. The test using asymptotic critical values has poor size. Bootstrapping corrects the size problem but results in a biased power curve.

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Bibliographic Info

Article provided by Taylor & Francis Journals in its journal Applied Economics Letters.

Volume (Year): 10 (2003)
Issue (Month): 10 ()
Pages: 597-600

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Handle: RePEc:taf:apeclt:v:10:y:2003:i:10:p:597-600

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  1. Horowitz, Joel L., 2001. "The Bootstrap," Handbook of Econometrics, in: J.J. Heckman & E.E. Leamer (ed.), Handbook of Econometrics, edition 1, volume 5, chapter 52, pages 3159-3228 Elsevier.
  2. James E. Prieger, 2003. "Conditional Moment Tests for Parametric Duration Models," Working Papers 010, University of California, Davis, Department of Economics.
  3. Lancaster, Tony, 1985. "Generalised residuals and heterogeneous duration models : With applications to the Weilbull model," Journal of Econometrics, Elsevier, vol. 28(1), pages 155-169, April.
  4. Pagan, Adrian & Vella, Frank, 1989. "Diagnostic Tests for Models Based on Individual Data: A Survey," Journal of Applied Econometrics, John Wiley & Sons, Ltd., vol. 4(S), pages S29-59, Supplemen.
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Cited by:
  1. Jin Seo Cho & Halbert White, 2009. "Testing for Unobserved Heterogeneity in Exponential and Weibull Duration Models," Discussion Paper Series 0912, Institute of Economic Research, Korea University.

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