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Duration response measurement error

  • Chesher, Andrew
  • Dumangane, Montezuma
  • Smith, Richard J.

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File URL: http://www.sciencedirect.com/science/article/B6VC0-4625PBK-6/2/b407fd4ae841af9da38d5c43534e92cd
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Article provided by Elsevier in its journal Journal of Econometrics.

Volume (Year): 111 (2002)
Issue (Month): 2 (December)
Pages: 169-194

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Handle: RePEc:eee:econom:v:111:y:2002:i:2:p:169-194
Contact details of provider: Web page: http://www.elsevier.com/locate/jeconom

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  1. Phillips, Peter C B & Park, Joon Y, 1988. "On the Formulation of Wald Tests of Nonlinear Restrictions," Econometrica, Econometric Society, vol. 56(5), pages 1065-83, September.
  2. Chesher, Andrew & Spady, Richard, 1991. "Asymptotic Expansions of the Information Matrix Test Statistic," Econometrica, Econometric Society, vol. 59(3), pages 787-815, May.
  3. Orme, Chris, 1990. "The small-sample performance of the information-matrix test," Journal of Econometrics, Elsevier, vol. 46(3), pages 309-331, December.
  4. Russell Davidson & James G. MacKinnon, 1982. "Convenient Specification Tests for Logit and Probit Models," Working Papers 514, Queen's University, Department of Economics.
  5. Davidson, Russell & MacKinnon, James G, 1992. "A New Form of the Information Matrix Test," Econometrica, Econometric Society, vol. 60(1), pages 145-57, January.
  6. Russell Davidson & James G. MacKinnon, 1981. "Small Sample Properties of Alternative Forms of the Lagrange Multiplier Test," Working Papers 439, Queen's University, Department of Economics.
  7. Chesher, Andrew D, 1984. "Testing for Neglected Heterogeneity," Econometrica, Econometric Society, vol. 52(4), pages 865-72, July.
  8. Andrew Chesher & Richard J. Smith, 1997. "Likelihood Ratio Specification Tests," Econometrica, Econometric Society, vol. 65(3), pages 627-646, May.
  9. Horowitz, Joel L., 1994. "Bootstrap-based critical values for the information matrix test," Journal of Econometrics, Elsevier, vol. 61(2), pages 395-411, April.
  10. White, Halbert, 1982. "Maximum Likelihood Estimation of Misspecified Models," Econometrica, Econometric Society, vol. 50(1), pages 1-25, January.
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