A Consistent Test for the Parametric Specification of the Hazard Function

Yanqin Fan () and Paul Rilstone
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Yanqin Fan: Department of Economics University of Windsor

Annals of Economics and Finance, 2001, vol. 2, issue 1, 77-96

Abstract: This paper develops a consistent test for the correct hazard rate specification within the context of random right hand censoring of the dependent variable. The test is based on comparing a parametric estimate with a kernel estimate of the hazard rate. We establish the asymptotic distribution of the test statistic under the null hypothesis of correct parametric specification of the hazard rate and establish the consistency of the test.

Keywords: Consistent test; Hazard rate; Random censoring; Kernel estimation; Boundary kernel (search for similar items in EconPapers)
JEL-codes: C14 C52 (search for similar items in EconPapers)
Date: 2001
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Citations: View citations in EconPapers (1)

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Persistent link: https://EconPapers.repec.org/RePEc:cuf:journl:y:2001:v:2:i:1:p:77-96

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