On a specification test for competing risk models

Stephen Pudney and Jonathan M. Thomas
Additional contact information
Jonathan M. Thomas: Institute for Fiscal Studies

No W97/22, IFS Working Papers from Institute for Fiscal Studies

Abstract: We investigate the finite sample performance of a Lagrange Multiplier specification test for competing-risks duration models developed by Pudney and Thomas (1995). In their empirical work they employ a simple form of the test based on the Outer Product of the Gradient approximation (OPG) to the Hessian which although convenient may be severely oversized in finite samples. in this paper we compare the small sample performance of the OPG and Hessian forms of the test under the null and various alternatives. Our results suggest that provided the degrees of freedom are minimised the OPG variant is reliable for use in applied work.

Date: 1997-09-06
References: Add references at CitEc
Citations:

Downloads: (external link)
http://www.ifs.org.uk (application/pdf)

Related works:
This item may be available elsewhere in EconPapers: Search for items with the same title.

Export reference: BibTeX RIS (EndNote, ProCite, RefMan) HTML/Text

Persistent link: https://EconPapers.repec.org/RePEc:ifs:ifsewp:97/22

Ordering information: This working paper can be ordered from
The Institute for Fiscal Studies 7 Ridgmount Street LONDON WC1E 7AE

Access Statistics for this paper

More papers in IFS Working Papers from Institute for Fiscal Studies The Institute for Fiscal Studies 7 Ridgmount Street LONDON WC1E 7AE. Contact information at EDIRC.
Bibliographic data for series maintained by Emma Hyman ().