Bootstrapping the Conditional Moment Test for Parametric Duration Models

  title={Bootstrapping the Conditional Moment Test for Parametric Duration Models},
  author={James E. Prieger},
This letter evaluates the performance of auxiliary regression-based specification tests for parametric duration models estimated with censored data. The test using asymptotic critical values has poor size. Bootstrapping corrects the size problem but results in a biased power curve. 


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