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| Title: | | Bootstrapping the Conditional Moment Test for Parametric Duration Models  |
| Authors: | | Prieger, James E. |
| Issue Date: | | 2003 |
| Series/Report no.: | | Working papers / University of California, Department of Economics 03,4 |
| 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. |
| Subjects: | | conditional moment test test size right censoring type I censoring |
| Document Type: | | Working Paper |
| Appears in Collections: | | Working Papers, Department of Economics, UC Davis
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| 03-4.pdf | | 155.11 kB | Adobe PDF |
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