Economists' view of liquidity is askin to Supreme Court Justice Stewart's View of hard-core pornography: I shall not ... attempt further to define (it) .... But I know it when I see it. Embedding the process of selling an asset in a search environment enables us to provide an exact definition of...

This paper is a selected overview of econometric methods for duration models and will appear in the forthcoming book The Economics of Search by the authors. The focus of the paper is on martingale methods for continuous time data and general methods for the analysis of discretetime data...