删失回归模型中的设定检验:参数与半参数方法

Specification testing in censored regression models: Parametric and semiparametric methods

Journal of Applied Econometrics · 1989
被引 34
人大 AABS 3

中文导读

定义了删失回归模型中按假设强度排序的参数与半参数设定层级,回顾各层级的估计与检验技术,并应用于罢工持续时间模型。发现条件均值预测对设定误差敏感,而条件中位数则不然。

Abstract

We define a hierarchy of parametric and semiparametric specifications for censored regression models that is ordered according to the strength of the assumptions that are made. We review the estimation techniques and specification tests that are available at each level of the hierarchy. The estimation and testing procedures are illustrated by applying them to a model of strike duration. Several tests (some graphical) are able to detect errors in standard parametric specifications even in the presence of fairly heavy censoring, but two distinct semiparametric specifications leading to different substantive inferences cannot be rejected. In addition, the conditional mean as a prediction of the dependent variable is highly sensitive to specification errors, whereas the conditional median is not.

删失回归模型参数估计半参数检验模型设定检验