Hiroyuki Kasahara

Testing for Unobserved Heterogeneity in Censored Duration Models: EM Approach

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 theory inapplicable...