|
||
|
||
|
||
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. |
||
Keywords Likelihood-ratio statistic, Asymptotic critical values, Weighted bootstrap, Monte Carlo experiments. |
||
JEL classification codes C12, C41, C80 |
Home About Aims and Scope Editorial Board Submit Archive Search |
Journal of the Korean Econometric Society |
Links KCI KES SCOPUS MathJax |