Testing for Homogeneity in an Exponential Mixture Model |
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Authors: | Karl Mosler,& Wilfried Seidel |
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Affiliation: | Statistik und Ökonometrie, Universität Köln, Germany,;Wirtschafts- und Organisationwissenschaften, Universität der Bundeswehr Hamburg, Germany |
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Abstract: | This paper studies diagnostic procedures to test for homogeneity against unobserved heterogeneity in an exponential mixture model. The procedures include a dispersion score test, a likelihood ratio test, a moment likelihood approach and several goodness-of-fit tests. The paper compares the empirical power of these tests on a broad range of alternatives and proposes a new test that combines the dispersion score test with a properly chosen goodness-of-fit procedure; its empirical power comes close to the power of the best of the other tests. |
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Keywords: | frailty model goodness-of-fit hazard models likelihood tests mixture diagnosis overdispersion survival analysis. |
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