Bootstrapping the Conditional Moment Test for Parametric Duration Models

James Prieger ()

No 30, Working Papers from University of California, Davis, Department of Economics

Abstract: This letter evaluates the performance of auxiliary regression-based specification tests for parametric duration models estimated with censored data. The test using asymptotic critical values has poor size. Bootstrapping corrects the size problem but results in a biased power curve.

Keywords: conditional moment test; test size; right censoring; type I censoring; duration analysis; exponential distribution; Weibull distribution; specification test; power curve; bootstrap bias (search for similar items in EconPapers)
JEL-codes: C12 C24 C41 (search for similar items in EconPapers)
Pages: 9
Date: 2003-07-06
References: View references in EconPapers View complete reference list from CitEc
Citations: View citations in EconPapers (2)

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Related works:
Journal Article: Bootstrapping the conditional moment test for parametric duration models (2003)
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Persistent link: https://EconPapers.repec.org/RePEc:cda:wpaper:30

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