A simple IM test for exponential distributions

Pablo Acosta and Gabriel Montes-Rojas ()

Applied Economics Letters, 2009, vol. 16, issue 2, 109-112

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.

Date: 2009
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DOI: 10.1080/13504850601018221

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