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Title:Bootstrapping the Conditional Moment Test for Parametric Duration Models PDF Logo
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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