Bootstrapping the Conditional Moment Test for Parametric Duration Models

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.

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Year of publication:	2003
Authors:	Prieger, James E.
Publisher:	Davis, CA : University of California, Department of Economics
Subject:	Bootstrap-Verfahren \| Statistische Verteilung \| Theorie \| conditional moment test \| test size \| right censoring \| type I censoring

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Series:	Working Paper ; 03-4
Type of publication:	Book / Working Paper
Type of publication (narrower categories):	Working Paper
Language:	English
Other identifiers:	368853993 [GVK] hdl:10419/23204 [Handle]
Source:	EconStor

Persistent link: https://www.econbiz.de/10010263235