Resource title

Bootstrapping the Conditional Moment Test for Parametric Duration Models

Resource image

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Resource description

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.

Resource author

James E. Prieger

Resource publisher

Resource publish date

Resource language

eng

Resource content type

text/html

Resource resource URL

http://hdl.handle.net/10419/23204

Resource license

Adapt according to the presented license agreement and reference the original author.