Affordable Access

Publisher Website

Joint and separate score tests for state dependence and unobserved heterogeneity

Authors
Journal
Journal of Econometrics
0304-4076
Publisher
Elsevier
Publication Date
Volume
60
Identifiers
DOI: 10.1016/0304-4076(94)90047-7
Keywords
  • Conditional Score
  • C-Alpha Test

Abstract

Abstract The paper compares separate, conditional, and joint score tests of duration dependence and unobserved heterogeneity when the null is the exponential model and the alternative is the heterogeneous Weibull model. The score tests based on the conditional score function include the Neyman C(α) test as a special case. An examination of the non-null distribution of the joint test explains when all score tests have low power in the presence of multiple misspecifications. Monte Carlo experiments show that the conditional score tests are superior to the standard separate tests which confound unobserved heterogeneity and duration dependence.

There are no comments yet on this publication. Be the first to share your thoughts.