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A simple IM test for exponential distributions

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  • Pablo Acosta
  • Gabriel Montes Rojas

Abstract

We construct a simple information matrix misspecification test for exponential distributions that can be applied in duration models. We evaluate the test performance using Monte Carlo simulation experiments. We found good empirical size properties and good power against Weibull and Gamma distributions.

Suggested Citation

  • Pablo Acosta & Gabriel Montes Rojas, 2009. "A simple IM test for exponential distributions," Applied Economics Letters, Taylor & Francis Journals, vol. 16(2), pages 109-112.
  • Handle: RePEc:taf:apeclt:v:16:y:2009:i:2:p:109-112
    DOI: 10.1080/13504850601018221
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    References listed on IDEAS

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    1. White, Halbert, 1982. "Maximum Likelihood Estimation of Misspecified Models," Econometrica, Econometric Society, vol. 50(1), pages 1-25, January.
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