Specification Diagnostics for Econometric Models of Duration

This paper provides new diagnostics for evaluating the appropriateness of distributional assumptions in econometric models of duration. The exposition is in terms if the Weibull distribution, but the method is applicable more generally. The diagnostics developed are score tests of the null hypothesis of Weibull distributed durations (conditional on covariates) against alternatives which are based on expansions of various orders in a system of orthogonal functions. The statistics essentially test whether moment restrictions implied by the null specification are satisfied by the data. The paper also shows that recently developed diagnostics for uncorrected heterogeneity essentially amount to testing whether a particular moment relationship implied by the null is satisfied