JinSeo.Cho - Testing for the Conditional Geometric Mixture Distribution

<Source Information> Jin Seo Cho, Jin Seok Park, and Sang Woo Park (2018): Journal of Economic Theory and Econometrics , 29:2, 1-27.

<Abstract> This study examines the mixture hypothesis of conditional geometric distributions using a likelihood ratio (LR) test statistic based on that used for unconditional geometric distributions. As such, we derive the null limit distribution of the LR test statistic and examine its power performance. In addition, we examine the interrelationship between the LR test statistics used to test the geometric and exponential mixture hypotheses. We also examine the performance of the LR test statistics under various conditions and confirm the main claims of the study using Monte Carlo simulations.