Please use this identifier to cite or link to this item: http://hdl.handle.net/10419/23204
Authors: 
Prieger, James E.
Year of Publication: 
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

Files in This Item:
File
Size
155.11 kB





Items in EconStor are protected by copyright, with all rights reserved, unless otherwise indicated.