Bootstrapping the conditional moment test for parametric duration models
AbstractThe 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 InfoArticle provided by Taylor & Francis Journals in its journal Applied Economics Letters.
Volume (Year): 10 (2003)
Issue (Month): 10 ()
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Other versions of this item:
- James E. Prieger, 2003. "Bootstrapping the Conditional Moment Test for Parametric Duration Models," Working Papers 34, University of California, Davis, Department of Economics.
- C12 - Mathematical and Quantitative Methods - - Econometric and Statistical Methods and Methodology: General - - - Hypothesis Testing: General
- C41 - Mathematical and Quantitative Methods - - Econometric and Statistical Methods: Special Topics - - - Duration Analysis; Optimal Timing Strategies
- C24 - Mathematical and Quantitative Methods - - Single Equation Models; Single Variables - - - Truncated and Censored Models; Switching Regression Models
Please report citation or reference errors to , or , if you are the registered author of the cited work, log in to your RePEc Author Service profile, click on "citations" and make appropriate adjustments.:
- James E. Prieger, .
"Conditional Moment Tests for Parametric Duration Models,"
Department of Economics
00-10, California Davis - Department of Economics.
- James E. Prieger, 2003. "Conditional Moment Tests for Parametric Duration Models," Working Papers 010, University of California, Davis, Department of Economics.
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- Jin Seo Cho & Halbert White, 2009.
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Discussion Paper Series
0912, Institute of Economic Research, Korea University.
- Cho, Jin Seo & White, Halbert, 2010. "Testing for unobserved heterogeneity in exponential and Weibull duration models," Journal of Econometrics, Elsevier, vol. 157(2), pages 458-480, August.
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