Bootstrapping the Conditional Moment Test for Parametric Duration Models
AbstractThis letter evaluates the performance of auxiliary regression-based specification tests for parametric duration models estimated with censored data. 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 InfoPaper provided by University of California at Davis, Department of Economics in its series Working Papers with number 03-4.
Date of creation: Jun 2003
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Other versions of this item:
- James Prieger, 2003. "Bootstrapping the conditional moment test for parametric duration models," Applied Economics Letters, Taylor and Francis Journals, vol. 10(10), pages 597-600.
- 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.
- Prieger, James, 2000. "Conditional Moment Tests for Parametric Duration Models," Working Papers 00-10, University of California at 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.
- 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.
- 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.
- 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.
- 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.
- 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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