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Testing A Parametric Transformation Model Versus A Nonparametric Alternative

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  • Szydłowski, Arkadiusz

Abstract

Despite an abundance of semiparametric estimators of the transformation model, no procedure has been proposed yet to test the hypothesis that the transformation function belongs to a finite-dimensional parametric family against a nonparametric alternative. In this article, we introduce a bootstrap test based on integrated squared distance between a nonparametric estimator and a parametric null. As a special case, our procedure can be used to test the parametric specification of the integrated baseline hazard in a semiparametric mixed proportional hazard model. We investigate the finite sample performance of our test in a Monte Carlo study. Finally, we apply the proposed test to Kennan’s strike durations data.

Suggested Citation

  • Szydłowski, Arkadiusz, 2020. "Testing A Parametric Transformation Model Versus A Nonparametric Alternative," Econometric Theory, Cambridge University Press, vol. 36(5), pages 871-906, October.
    • Handle: RePEc:cup:etheor:v:36:y:2020:i:5:p:871-906_4
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