Specification diagnostics based on Laguerre alternatives for econometric models of duration

DOI10.1016/0304-4076(85)90072-7zbMath0578.62098OpenAlexW2043625311MaRDI QIDQ1066598

Nicholas M. Kiefer

Publication date: 1985

Published in: Journal of Econometrics (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1016/0304-4076(85)90072-7

zbMATH Keywords

Laguerre polynomialscensoringunemployment durationconditional on regressorsexponentially distributed durationsnon-negative random variablesScore testsspecification diagnostics

Mathematics Subject Classification ID

Applications of statistics to economics (62P20) Parametric hypothesis testing (62F03)

Related Items (6)

A likelihood ratio test for stationarity of rating transitions ⋮ Adjustments of Rao's score test for distributional and local parametric misspecifications ⋮ Tests of moment restrictions in parametric duration models ⋮ Testing for unobserved heterogeneity in exponential and Weibull duration models ⋮ Exact critical regions and confidence intervals for maximum likelihood estimators in the exponential regression model ⋮ Joint and separate score tests for state dependence and unobserved heterogeneity

Cites Work

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• A general approach to Lagrange multiplier model diagnostics
• The Analysis of Re-Employment Probabilities for the Unemployed
• The Lagrange Multiplier Test and its Applications to Model Specification in Econometrics
• Econometric Methods for the Duration of Unemployment

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