Re: [Gretl-devel] duration models and Liu-Hong test
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-/
Allin