Joint and separate score tests for state dependence and unobserved heterogeneity

DOI10.1016/0304-4076(94)90047-7zbMath0788.62099OpenAlexW2092095926MaRDI QIDQ1318998

Sanjiv Jaggia, Pravin K. Trivedi

Publication date: 12 April 1994

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

Full work available at URL: https://digitalcommons.calpoly.edu/econ_fac/152

zbMATH Keywords

unobserved heterogeneityexponential modelMonte Carlo experimentsmisspecificationsC-alpha testconditional score testsheterogeneous Weibull modeljoint testscore tests of duration dependenceseparate tests

Mathematics Subject Classification ID

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

Related Items (5)

Adjustments of Rao's score test for distributional and local parametric misspecifications ⋮ On improving the robustness and reliability of Rao's score test ⋮ Robust Misspecification Tests for the Heckman's Two-Step Estimator ⋮ Generalized $$C(\alpha )$$ Tests for Estimating Functions with Serial Dependence ⋮ Asymptotic expansions and the reliability of tests in accelerated failure time models

Cites Work

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• The Lagrange Multiplier Test and its Applications to Model Specification in Econometrics
• Assessing the accuracy of the maximum likelihood estimator: Observed versus expected Fisher information
• Econometric Methods for the Duration of Unemployment
• On asymptotically optimal tests of composite hypotheses

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