Abstract
The impact of response measurement error in duration data is investigated using small parameter asymptotic approximations and compared with the effect of hazard function heterogeneity. The approximations lead to a specification test to detect measurement error which is shown to be related to the class of Information Matrix tests. It is shown that in a commonly used class of models the test statistic is exactly pivotal. The second order asymptotic properties of the alternative forms of the test statistic are derived and the quality of the approximations and the performance of the test are investigated via Monte Carlo experimentation.
Talk to us
Join us for a 30 min session where you can share your feedback and ask us any queries you have
Disclaimer: All third-party content on this website/platform is and will remain the property of their respective owners and is provided on "as is" basis without any warranties, express or implied. Use of third-party content does not indicate any affiliation, sponsorship with or endorsement by them. Any references to third-party content is to identify the corresponding services and shall be considered fair use under The CopyrightLaw.