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Testing for Unobserved Heterogeneity in Censored Duration Models: EM Approach

Kasahara, Hiroyuki et al.
arXiv (All) · Papers
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econometricsmethodology
Ignoring unobserved heterogeneity in duration models biases parameter estimates and invalidates inference, but testing for it is non-regular: the null hypothesis lies on the boundary of the parameter space and some parameters are unidentified under the null. These features render standard asymptotic
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