Testing for unobserved heterogeneity in exponential and Weibull duration models
指数与威布尔持续时间模型中的不可观测异质性检验
We examine the use of the likelihood ratio (LR) statistic to test for unobserved heterogeneity in duration models, based on mixtures of exponential or Weibull distributions. We consider both the uncensored and censored duration cases. The asymptotic null distribution of the LR test statistic is not the standard chi-square, as the standard regularity conditions do not hold. Instead, there is a nuisance parameter identified only under the alternative, and a null parameter…