Re: [Gretl-devel] duration models and Liu-Hong test
On Sun, 18 Dec 2016, Allin Cottrell wrote:
On Sun, 18 Dec 2016, Sven Schreiber wrote:
> Am 17.12.2016 um 20:19 schrieb Allin Cottrell:
>> Any duration model experts out there?
>>
>
> No (well, not me at least... ;-)
>
>> The relevant pages of the article are 6-10. Here's my problem: their
>> empirical survivor function (p. 10) involves counting cases where
>> V_i(\theta) and C_i(\theta), for observations i, are greater than
>> duration value t. But V_i and C_i are (if I'm reading the paper right)
>> CDF values and therefore limited to [0,1], while the duration t is said
>> on page 6 to be distributed on [0, \infty). So I don't see how these two
>> terms can be meaningfully compared.
>>
>> I guess I'm missing some implicit mapping/transformation (maybe of t
>> onto [0,1]?). Can anyone help?
>
> I see what you mean and just have a wild guess to offer: Maybe on p.10 in
> the equations with the summations it should be V_i and C_i with tildes
> instead. (So $\tilde{V}_i(\theta) > t$ etc.) This obviously is a typo-based
> explanation, and I'm not at all sure.
Thanks, Sven. That would make sense of the inequalities, but I think it would
make nonsense of the broader argument on page 10. 8-/
I guess that Sven's typo argument should read like: we count the number of
times $V_i(\theta) > F_0(t)$, which is by definition the same as
$\tilde{V}(\theta) > t$.
But more in general: I'd try to contact the authors. The fact that a PhD
thesis defended in 2007 hasn't seen the light as a journal article is
definitely not a good sign. (But of course that means nothing certain:
each of us has some horror story from the publish-or-perish trenches.)
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Riccardo (Jack) Lucchetti
Dipartimento di Scienze Economiche e Sociali (DiSES)
Università Politecnica delle Marche
(formerly known as Università di Ancona)
r.lucchetti(a)univpm.it
http://www2.econ.univpm.it/servizi/hpp/lucchetti
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