Testing for the Conditional Geometric Mixture Distribution

Jin Seo Cho (), Jin Seok Park and Sang Woo Park
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Jin Seok Park: Yonsei University
Sang Woo Park: Yonsei University

No 2018rwp-123, Working papers from Yonsei University, Yonsei Economics Research Institute

Abstract: This study examines the mixture hypothesis of conditional geometric distributions using a likelihood ratio (LR) test statistic based on that used for unconditional geometric distributions. As such, we derive the null limit distribution of the LR test statistic and examine its power performance. In addition, we examine the interrelationship between the LR test statistics used to test the geometric and exponential mixture hypotheses. We also examine the performance of the LR test statistics under various conditions and confirm the main claims of the study using Monte Carlo simulations.

Keywords: mixture of conditional geometric distributions; likelihood ratio test; unobserved heterogeneity; Gaussian stochastic process (search for similar items in EconPapers)
JEL-codes: C12 C41 C80 (search for similar items in EconPapers)
Pages: 27pages
Date: 2018-06
New Economics Papers: this item is included in nep-ecm and nep-knm
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Persistent link: https://EconPapers.repec.org/RePEc:yon:wpaper:2018rwp-123

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