Journal of Economic Theory and Econometrics: Journal of the Korean Econometric Society
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Journal of Economic Theory and Econometrics
JETEM/계량경제학보/計量經濟學報/JKES
Journal of the Korean Econometric Society

Testing for the Mixture Hypothesis of Conditional Geometric and Exponential Distributions

Vol.29, No.2, June , 1–27



  •   (Yonsei University)

  •   (Yonsei University)

  •   (Yonsei University)

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Abstract  

This study examines the mixture hypothesis of conditional geometric distributions using a likelihood ratio (LR) test statistic based on that used for unconditionalgeometricdistributions. Assuch,wederivethenulllimitdistribution 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.


Keywords
   mixtureofconditionalgeometricdistributions,likelihoodratiotest, unobserved heterogeneity, Gaussian stochastic process.

JEL classification codes
   C12, C41, C80
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