Home
About
Aims and Scope
Editorial Board
Submit
Archive
Search
Announcement
|
Journal of Economic Theory and Econometrics
Journal of the Korean Econometric Society
Testing for the Mixture Hypothesis of Conditional Geometric and Exponential Distributions
Vol.29, No.2, June 2018, 1–27
|
|
Jin Seo Cho
(Yonsei University)
Jin Seok Park
(Yonsei University)
Sang Woo Park
(Yonsei University)
|
|
|
|
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 |
|
Links
KCI
KES
SCOPUS
MathJax
|