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Applied Economics Letters Volume 10, 2003 - Issue 10
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Original Articles

Bootstrapping the conditional moment test for parametric duration models

James E. Prieger Department of Economics, University of California, One Shields Avenue, Davis, CA 95616-8578, USA E-mail: [email protected]
Pages 597-600 | Published online: 06 Oct 2010
 
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Abstract

The performance of auxiliary regression-based specification tests for parametric duration models estimated with censored data is evaluated. 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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