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

Experience with the Weighted Bootstrap in Testing for Unobserved Heterogeneity in Exponential and Weibull Duration Models

Vol.22, No.2, June , 60–91



  •   ( Yonsei University)

  •   (Korea University)

  •   (University of California, San Diego)

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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
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