Duration response measurement error
01 June 2002
Journal Article, Journal of Econometrics,
Vol. 111, No. 2, pp. 169-194
The impact of response measurement error in duration data is investigated using small parameter asymptotic approximations and compared with the effect of hazard function heterogeneity. The approximations lead to a specification test to detect measurement error which is shown to be related to the class of Information Matrix tests. It is shown that in a commonly used class of models the test statistic is exactly pivotal. The second order asymptotic properties of the alternative forms of the test statistic are derived and the quality of the approximations and the performance of the test are investigated via Monte Carlo experimentation.