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Specification Tests Based on the Heterogeneous Generalized Gamma Model of Duration: With an Application to Kennan's Strike Data


  • Jaggia, Sanjiv


In this paper, tests for neglected heterogeneity and functional form misspecification of some commonly used parametric distributions are derived within a heterogeneous generalized gamma model. It is argued that the conventional test of heterogeneity may not be valid when the underlying hazard function is misspecified. Hence, if the estimated hazard function is deemed restrictive, tests for functional form misspecification should accompany any test of heterogeneity. An empirical illustration based on Kennan's (1985) model of strikes is used to show that incorrect inferences may be drawn, as in a number of previous analyses, if the relevant restrictions are not tested jointly. Copyright 1991 by John Wiley & Sons, Ltd.

Suggested Citation

  • Jaggia, Sanjiv, 1991. "Specification Tests Based on the Heterogeneous Generalized Gamma Model of Duration: With an Application to Kennan's Strike Data," Journal of Applied Econometrics, John Wiley & Sons, Ltd., vol. 6(2), pages 169-180, April-Jun.
  • Handle: RePEc:jae:japmet:v:6:y:1991:i:2:p:169-80

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    References listed on IDEAS

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    2. E. Fe-Rodríguez & C. Orme, 2006. "On the sensitivity of Kernel-based Conditional Moment Tests to Unconsidered Local Alternatives," The School of Economics Discussion Paper Series 0606, Economics, The University of Manchester.
    3. Matsumoto, Shigeru, 2011. "A duration analysis of environmental alternative dispute resolution in Japan," Ecological Economics, Elsevier, vol. 70(4), pages 659-666, February.

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