Specification tests based on the heterogeneous generalized gamma model of duration: With an application to Kennan's strike data
在异质性广义伽马模型中推导了针对被忽略的异质性和常用参数分布函数形式误设的检验，并用罢工数据说明若未联合检验相关约束可能得出错误推断。
Abstract In this paper, tests for neglected heterogeneity and functional form misspecification of some commonly used parametric distributions are derived within a heterogeneous generalized gamma model. It is argued that the conventional test of heterogeneity may not be valid when the underlying hazard function is misspecified. Hence, if the estimated hazard function is deemed restrictive, tests for functional form misspecification should accompany any test of heterogeneity. An empirical illustration based on Kennan's (1985) model of strikes is used to show that incorrect inferences may be drawn, as in a number of previous analyses, if the relevant restrictions are not tested jointly.