-transaction duration process and vice versa. In order to solve the estimation problems implied by this interdependent formulation, we first … propose a GMM estimation procedure for the Autoregressive Conditional Duration model. The method is then extended to the … simultaneous estimation of the interdependent duration-volatility model. In an empirical application we utilize the model for an …

nonzero mean of the t-statistic in the case of an OLS detrending method. In this paper the local power of panel unit root …

We propose a method of modeling panel time series data with both inter- and intra-individual correlation, and of … series ; Autoregressive ; Burg-type estimates ; Intercorrelated ; Panel data …

In this paper a parametric framework for stimation and inference in cointegrated panel data models is considered that …

not invariant with respect to the investigated sample period. -- Purchasing power parity ; Panel cointegration ; Wild …