Template-Type: ReDIF-Paper 1.0
Author-Name: James E. Prieger
Author-Name-First: James E.
Author-Name-Last: Prieger
Author-Workplace-Name: Department of Economics, University of California Davis
Title: Bootstrapping the Conditional Moment Test for Parametric Duration Models
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.
Length: 9
File-URL: https://repec.dss.ucdavis.edu/files/nnJ84QjkdG1PVnU3XHUh4EDb/03-4.pdf
File-Format: application/pdf
Number: 30
Classification-JEL: C12, C41, C24
KeyWords: conditional moment test, test size, right censoring, type I censoring, duration analysis, exponential distribution, Weibull distribution, specification test, power curve, bootstrap bias
Creation-Date: 20030706
Handle: RePEc:cda:wpaper:30