Bootstrapping the conditional moment test for parametric duration models
The performance of auxiliary regression-based specification tests for parametric duration models estimated with censored data is evaluated. The test using asymptotic critical values has poor size. Bootstrapping corrects the size problem but results in a biased power curve.
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Volume (Year): 10 (2003)
Issue (Month): 10 ()
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References listed on IDEAS
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- Horowitz, Joel L., 2001. "The Bootstrap," Handbook of Econometrics, in: J.J. Heckman & E.E. Leamer (ed.), Handbook of Econometrics, edition 1, volume 5, chapter 52, pages 3159-3228 Elsevier.
- 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.
- James E. Prieger, 2003.
"Conditional Moment Tests for Parametric Duration Models,"
010, University of California, Davis, Department of Economics.
- James E. Prieger, . "Conditional Moment Tests for Parametric Duration Models," Department of Economics 00-10, California Davis - Department of Economics.
- Pagan, Adrian & Vella, Frank, 1989. "Diagnostic Tests for Models Based on Individual Data: A Survey," Journal of Applied Econometrics, John Wiley & Sons, Ltd., vol. 4(S), pages S29-59, Supplemen.
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