Ranasinghe, Kulan; Silvapulle, Mervyn J. - Department of Econometrics and Business Statistics, … - 2008
The parameters in duration models are usually estimated by a Quasi Maximum Likelihood Estimator [QMLE]. This estimator is efficient if the errors are iid and exponentially distributed. Otherwise, it may not be the most efficient. Motivated by this, a class of estimators has been introduced by...