IDEAS home Printed from https://ideas.repec.org/a/eee/stapro/v46y2000i1p95-100.html
   My bibliography  Save this article

On the sensitivity of the overdispersion test in a Weibull model

Author

Listed:
  • Orme, Chris D.

Abstract

This paper examines the O(n-1/2) sampling behaviour of the overdispersion test statistic in a Weibull hazard regression model, under the assumption of locally omitted covariates and in the absence of censoring. Although the O(1) sampling distribution is insensitive to this misspecification, by refining the approximation to O(n-1/2) it is shown how the non-centrality parameter of the O(1) asymptotic distribution of the precise score test (i.e., the variance of the omitted term) directly influences the power of the overdispersion test.

Suggested Citation

  • Orme, Chris D., 2000. "On the sensitivity of the overdispersion test in a Weibull model," Statistics & Probability Letters, Elsevier, vol. 46(1), pages 95-100, January.
  • Handle: RePEc:eee:stapro:v:46:y:2000:i:1:p:95-100
    as

    Download full text from publisher

    File URL: http://www.sciencedirect.com/science/article/pii/S0167-7152(99)00091-7
    Download Restriction: Full text for ScienceDirect subscribers only

    As the access to this document is restricted, you may want to search for a different version of it.

    References listed on IDEAS

    as
    1. Sanjiv Jaggia, 1997. "Alternative Forms of the Score Test for Heterogeneity in a Censored Exponential Model," The Review of Economics and Statistics, MIT Press, vol. 79(2), pages 340-343, May.
    2. 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.
    Full references (including those not matched with items on IDEAS)

    Corrections

    All material on this site has been provided by the respective publishers and authors. You can help correct errors and omissions. When requesting a correction, please mention this item's handle: RePEc:eee:stapro:v:46:y:2000:i:1:p:95-100. See general information about how to correct material in RePEc.

    For technical questions regarding this item, or to correct its authors, title, abstract, bibliographic or download information, contact: (Dana Niculescu). General contact details of provider: http://www.elsevier.com/wps/find/journaldescription.cws_home/622892/description#description .

    If you have authored this item and are not yet registered with RePEc, we encourage you to do it here. This allows to link your profile to this item. It also allows you to accept potential citations to this item that we are uncertain about.

    If CitEc recognized a reference but did not link an item in RePEc to it, you can help with this form .

    If you know of missing items citing this one, you can help us creating those links by adding the relevant references in the same way as above, for each refering item. If you are a registered author of this item, you may also want to check the "citations" tab in your RePEc Author Service profile, as there may be some citations waiting for confirmation.

    Please note that corrections may take a couple of weeks to filter through the various RePEc services.

    IDEAS is a RePEc service hosted by the Research Division of the Federal Reserve Bank of St. Louis . RePEc uses bibliographic data supplied by the respective publishers.