Testing for the Mixture Hypothesis of Geometric Distributions

• 발행기관: 한국계량경제학회
• 저자명: Jin Seo Cho Chirok Han
• 간행물 정보: 『JOURNAL OF ECONOMIC THEORY AND ECONOMETRICS』Vol.20 No.3, 31~55쪽, 전체 25쪽
• 주제분류: 경제경영 > 경제학
• 파일형태: PDF
• 발행일자: 2009.09.30

영문 초록

Use of the likelihood ratio (LR) statistic is examined to test for the mixture assumption of geometric distributions. As the asymptotic null distribution of the LR statistic is not a standard chi-square due to the fact that there are a boundary parameter problem and a nuisance parameter not identified under the null, we derive it separately and also provide a method to obtain the asymptotic critical values. Further, the finite sample properties of the LR test are evaluated by Monte Carlo simulations by examining the levels and powers of the LR test. Finally, using Kennan’s (1985) strike data in labor economics, we conclude that unobserved heterogeneity is present in the data, which cannot be captured by specifying a geometric distribution.

키워드

mixture geometric distribution likelihood ratio statistic unobserved heterogeneity strike data