Please use this identifier to cite or link to this item: https://hdl.handle.net/10419/23204 
Year of Publication: 
2003
Series/Report no.: 
Working Paper No. 03-4
Publisher: 
University of California, Department of Economics, Davis, CA
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

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