A simple IM test for exponential distributions
Pablo Acosta () and
Gabriel Montes-Rojas ()
Applied Economics Letters, 2009, vol. 16, issue 2, 109-112
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.
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