A Consistent Test for the Parametric Specification of the Hazard Function

This paper develops a consistent test for the correct hazard rate specification within the context of random right hand censoring of the dependent variable. The test is based on comparing a parametric estimate with a kernel estimate of the hazard rate. We establish the asymptotic distribution of the test statistic under the null hypothesis of correct parametric specification of the hazard rate and establish the consistency of the test.

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Year of publication:	2001
Authors:	Fan, Yanqin ; Rilstone, Paul
Published in:	Annals of Economics and Finance. - China Economics and Management Academy, ISSN 1529-7373. - Vol. 2.2001, 1, 4, p. 77-96
Publisher:	China Economics and Management Academy
Subject:	Consistent test \| Hazard rate \| Random censoring \| Kernel estimation \| Boundary kernel

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Extent:	application/pdf
Type of publication:	Article
Classification:	C14 - Semiparametric and Nonparametric Methods ; C52 - Model Evaluation and Testing
Source:	RePEc - Research Papers in Economics

Persistent link: https://www.econbiz.de/10009145690