A Consistent Test for the Parametric Specification of
the Hazard Function

Yanqin Fan 

This paper develops a consistent test for the correct hazard rate specification within the context of random right hand censoring of the dependent variable. The test is based on comparing a parametric estimate with a kernel estimate of the hazard rate. We establish the asymptotic distribution of the test statistic under the null hypothesis of correct parametric specification of the hazard rate and establish the consistency of
the test.