Experience with the weighted bootstrap in testing for unobserved heterogeneity in exponential and weibull duration models

Jin Seo Cho, Ta Ul Cheong, Halbert White

Research output: Contribution to journalArticle

8 Citations (Scopus)

Abstract

We study the properties of the likelihood-ratio test for unobserved heterogeneity in duration models using mixtures of exponential and Weibull distributions proposed by Cho and White (2010). As they note, this involves a nuisance parameter identified only under the alternative. We apply the asymptotic critical values in Cho and White (2010) and compare these with Hansen's (1996) weighted bootstrap. Our Monte Carlo experiments show that the weighted bootstrap provides superior asymptotic critical values.

Original languageEnglish
Pages (from-to)60-91
Number of pages32
JournalJournal of Economic Theory and Econometrics
Volume22
Issue number2
Publication statusPublished - 2011 Jun 1

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Bootstrap
Unobserved heterogeneity
Duration models
Critical value
Testing
Monte Carlo experiment
Likelihood ratio test
Nuisance parameter
Weibull distribution
Exponential distribution

All Science Journal Classification (ASJC) codes

  • Economics and Econometrics

Cite this

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Experience with the weighted bootstrap in testing for unobserved heterogeneity in exponential and weibull duration models. / Cho, Jin Seo; Cheong, Ta Ul; White, Halbert.

In: Journal of Economic Theory and Econometrics, Vol. 22, No. 2, 01.06.2011, p. 60-91.

Research output: Contribution to journalArticle

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