We examine the use of the likelihood ratio (LR) statistic to test for unobserved heterogeneity in duration models, based on mixtures of exponential or Weibull distributions. We consider both the uncensored and censored duration cases. The asymptotic null distribution of the LR test statistic is...

We provide a family of tests for the IID hypothesis based on generalized runs, powerful against unspecified alternatives, providing a useful complement to tests designed for specific alternatives, such as serial correlation, GARCH, or structural breaks. Our tests have appealing computational...

We analyze use of a quasi-likelihood ratio statistic for a mixture model to test the null hypothesis of one regime versus the alternative of two regimes in a Markov regime-switching context. This test exploits mixture properties implied by the regime-switching process, but ignores certain...

We provide a familiy of tests for the IID hypothesis based on generalized runs, powerful against unspecified alternatives, providing a useful complement to test designed for specific alternatives, such as serial correlation, GARCH, or structural breaks. Our tests have appealing computational...

We examine use of the likelihood ratio (LR) statistics to test for unobserved heterogeneity in duration models, based on mixtures of exponential or Weibull distributions. We consider both the uncensored and censored duration cases. The asymptotic null distribution of the LR test statistics is...

In this paper, we study functional regression and its properties in testing the hypothesis of a constant zero mean function or an unknown constant non-zero mean function. As we show, the associated Wald test statistics have standard chi-square limiting null distributions, standard non-central...