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Type: Journal Articles Authors: Andrew Chesher, Montezuma Dumangane and Richard J Smith
Published in: Journal of Econometrics
Volume, issue, pages: Vol. 111, No. 2, pp. 169-194
JEL classification: C41, C52 Keywords: Duration analysis; Measurement error; Second order asymptotic approximations; Invariance; Information matrix tests
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.
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