Non-Parametric Specification Tests for Conditional Duration Models.

This paper deals with the estimation and testing of conditional duration models by looking at the density and baseline hazard functions. More precisely, we focus on the distance between the aprametric density (or hazard rate) function implied by the duration process and its non-parametric estimate.

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Year of publication:	2000
Authors:	Fernandes, M. ; Grammig, J.
Institutions:	Department of Economics, European University Institute
Subject:	ECONOMIC MODELS \| TESTING \| SIMULATION

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Series:	Economics Working Papers.
Type of publication:	Book / Working Paper
Notes:	51 pages
Classification:	C14 - Semiparametric and Nonparametric Methods ; C51 - Model Construction and Estimation ; C52 - Model Evaluation and Testing
Source:	RePEc - Research Papers in Economics

Persistent link: https://www.econbiz.de/10005816412