Testing for the mixture hypothesis of conditional geometric and exponential distributions

Jin Seo Cho, Jin Seok Park, Sang Woo Park

Research output: Contribution to journalArticlepeer-review

Abstract

This study examines the mixture hypothesis of conditional geometric distributions using a likelihood ratio (LR) test statistic based on that used for unconditional geometric distributions. As such, we derive the null limit distribution of the LR test statistic and examine its power performance. In addition, we examine the interrelationship between the LR test statistics used to test the geometric and exponential mixture hypotheses. We also examine the performance of the LR test statistics under various conditions and confirm the main claims of the study using Monte Carlo simulations. ecosystems.

Original languageEnglish
Pages (from-to)1-27
Number of pages27
JournalJournal of Economic Theory and Econometrics
Volume29
Issue number2
Publication statusPublished - 2018 Jun

Bibliographical note

Funding Information:
The author is most grateful to the editor, Jin Lee. Cho acknowledges the support of the Yonsei University Future-leading Research Initiative of 2017 (2017-22-0090).

Publisher Copyright:
© 2018, Korean Econometric Society. All rights reserved.

All Science Journal Classification (ASJC) codes

  • Economics and Econometrics

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