Specification Diagnostics for Econometric Models of Duration

UCLA Economics Working Paper No. 440

56 Pages Posted: 15 Jun 2005

See all articles by Sunil Sharma

Sunil Sharma

George Washington University - Elliott School of International Affairs; International Monetary Fund (IMF)

Date Written: March 1987

Abstract

This paper provides new diagnostics for evaluating the appropriateness of distributional assumptions in econometric models of duration. The exposition is in terms if the Weibull distribution, but the method is applicable more generally. The diagnostics developed are score tests of the null hypothesis of Weibull distributed durations (conditional on covariates) against alternatives which are based on expansions of various orders in a system of orthogonal functions. The statistics essentially test whether moment restrictions implied by the null specification are satisfied by the data. The paper also shows that recently developed diagnostics for uncorrected heterogeneity essentially amount to testing whether a particular moment relationship implied by the null is satisfied.

Suggested Citation

Sharma, Sunil, Specification Diagnostics for Econometric Models of Duration (March 1987). UCLA Economics Working Paper No. 440, Available at SSRN: https://ssrn.com/abstract=742714 or http://dx.doi.org/10.2139/ssrn.742714

Sunil Sharma (Contact Author)

George Washington University - Elliott School of International Affairs ( email )

Institute for International Economic Policy
1957 E Street NW
Washington, DC 20052
United States

International Monetary Fund (IMF) ( email )

Research Department
700 19th Street NW
Washington, DC 20431
United States

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