TY - JOUR
T1 - Semi-parametric specification tests for mixing distributions
AU - Fang, Yue
PY - 2008
Y1 - 2008
N2 - We present a semi-parametric method for testing mixing distributions in the mixed Poisson model. The proposed method, which is based on the generalized method of moments, does not demand the complete specification of the probability function but only requires a specification of a set of moment conditions which the model should satisfy. We demonstrate that an explicit expression for moment relations between the mixing and the mixed distributions provides a natural way in selecting moment restrictions and model parameterization. The Monte Carlo evidence suggests that the test has satisfactory performance for moderate size samples.
AB - We present a semi-parametric method for testing mixing distributions in the mixed Poisson model. The proposed method, which is based on the generalized method of moments, does not demand the complete specification of the probability function but only requires a specification of a set of moment conditions which the model should satisfy. We demonstrate that an explicit expression for moment relations between the mixing and the mixed distributions provides a natural way in selecting moment restrictions and model parameterization. The Monte Carlo evidence suggests that the test has satisfactory performance for moderate size samples.
KW - Mixed Poisson distribution
KW - Model specification
KW - Monte Carlo simulation
KW - Semi-parametric method
KW - Mixed Poisson distribution
KW - Model specification
KW - Monte Carlo simulation
KW - Semi-parametric method
U2 - 10.1016/j.csda.2007.10.015
DO - 10.1016/j.csda.2007.10.015
M3 - Journal
SN - 0167-9473
VL - 52
SP - 2829
EP - 2839
JO - Computational Statistics & Data Analysis
JF - Computational Statistics & Data Analysis
IS - 5
ER -