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Testing for the Conditional Geometric Mixture Distribution

Author

Listed:
  • JIN SEO CHO

    (Yonsei University)

  • JIN SEOK PARK

    (Yonsei University)

  • SANG WOO PARK

    (Yonsei University)

Abstract

This study examines the mixture hypothesis of conditional geometric distributions using a likelihood ratio (LR) test statistic based on that used for unconditional geometric distributions. As such, we derive the null limit distribution of the LR test statistic and examine its power performance. In addition, we examine the interrelationship between the LR test statistics used to test the geometric and exponential mixture hypotheses. We also examine the performance of the LR test statistics under various conditions and confirm the main claims of the study using Monte Carlo simulations.

Suggested Citation

  • Jin Seo Cho & Jin Seok Park & Sang Woo Park, 2018. "Testing for the Conditional Geometric Mixture Distribution," Working papers 2018rwp-123, Yonsei University, Yonsei Economics Research Institute.
    • Handle: RePEc:yon:wpaper:2018rwp-123
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    References listed on IDEAS

    as
    1. Jin Seo Cho & Peter C. B. Phillips, 2018. "Sequentially testing polynomial model hypotheses using power transforms of regressors," Journal of Applied Econometrics, John Wiley & Sons, Ltd., vol. 33(1), pages 141-159, January.
    2. Cho, Jin Seo & White, Halbert, 2010. "Testing for unobserved heterogeneity in exponential and Weibull duration models," Journal of Econometrics, Elsevier, vol. 157(2), pages 458-480, August.
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    11. Baek, Yae In & Cho, Jin Seo & Phillips, Peter C.B., 2015. "Testing linearity using power transforms of regressors," Journal of Econometrics, Elsevier, vol. 187(1), pages 376-384.
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    More about this item

    Keywords

    mixture of conditional geometric distributions; likelihood ratio test; unobserved heterogeneity; Gaussian stochastic process;
    All these keywords.

    JEL classification:

    • C12 - Mathematical and Quantitative Methods - - Econometric and Statistical Methods and Methodology: General - - - Hypothesis Testing: General
    • C41 - Mathematical and Quantitative Methods - - Econometric and Statistical Methods: Special Topics - - - Duration Analysis; Optimal Timing Strategies
    • C80 - Mathematical and Quantitative Methods - - Data Collection and Data Estimation Methodology; Computer Programs - - - General

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