We examine use of the likelihood ratio (LR) statistics to test for unobserved heterogeneity in duration models, based on mixtures of exponential or Weibull distributions. We consider both the uncensored and censored duration cases. The asymptotic null distribution of the LR test statistics is...

In this paper, we study functional regression and its properties in testing the hypothesis of a constant zero mean function or an unknown constant non-zero mean function. As we show, the associated Wald test statistics have standard chi-square limiting null distributions, standard non-central...

A new method, called Relevant Transformation of the Inputs Network Approach (RETINA) isproposed as a tool for model building. It is designed around flexibility (with nonlinear transformations of the predictors of interest), selective search within the range of possible models, out-of-sample...

We explore convenient analytic properties of distributions constructed as mixtures of scaled and shifted t-distributions. A feature that makes this family particularly desirable for econometric applications is that it possesses closed-form expressions for its anti-derivatives (e.g., the...