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.
|Number of pages||32|
|Journal||Journal of Economic Theory and Econometrics|
|Publication status||Published - 2011 Jun 1|
All Science Journal Classification (ASJC) codes
- Economics and Econometrics