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A Consistent Test for the Parametric Specification of the Hazard Function

Author

Listed:
  • Yanqin Fan

    () (Department of Economics University of Windsor)

  • Paul Rilstone

    () (Department of Economics, York University)

Abstract

This 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.

Suggested Citation

  • Yanqin Fan & Paul Rilstone, 2001. "A Consistent Test for the Parametric Specification of the Hazard Function," Annals of Economics and Finance, Society for AEF, vol. 2(1), pages 77-96, May.
  • Handle: RePEc:cuf:journl:y:2001:v:2:i:1:p:77-96
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    Citations

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    Cited by:

    1. 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.
    2. Yanqin Fan & Xiaohong Chen & Andrew Patton, 2004. "(IAM Series No 003) Simple Tests for Models of Dependence Between Multiple Financial Time Series, with Applications to U.S. Equity Returns and Exchange Rates," FMG Discussion Papers dp483, Financial Markets Group.

    More about this item

    Keywords

    Consistent test; Hazard rate; Random censoring; Kernel estimation; Boundary kernel;

    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

    Statistics

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