Re: [Gretl-devel] duration models and Liu-Hong test
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.
cheers,
sven