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An Alternative Nonparametric Specification Test in Autoregressive Conditional Duration Models
Saart, Patrick; Gao, Jiti - 2012
Conditional Duration (ACD) class of models. In these models, the error term is normally interpreted as the standardized duration … the financial duration in question.This paper illustrates that the testing procedure developed is applicable to various …
Persistent link: https://www.econbiz.de/10014166683
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Nonparametric specification tests for conditional duration models
Fernandes, Marcelo (contributor);  … - 2003 - [Elektronische Ressource]
Persistent link: https://www.econbiz.de/10001955246
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A semi-nonparametric estimator of regression discontinuity design with discrete duration outcomes
Xu, Ke-Li - In: Journal of econometrics 206 (2018) 1, pp. 258-278
Persistent link: https://www.econbiz.de/10012110379
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Testing conditional factor models
Ang, Andrew; Kristensen, Dennis - In: Journal of financial economics 106 (2012) 1, pp. 132-156
Persistent link: https://www.econbiz.de/10009666667
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Model equivalence tests for overidentifying restrictions
Lavergne, Pascal - 2015
Persistent link: https://www.econbiz.de/10011302281
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Identification-robust nonparametric inference in a linear IV model
Antoine, Bertille; Lavergne, Pascal - 2021
Persistent link: https://www.econbiz.de/10012627835
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Identification‐robust nonparametric inference in a linear IV model
Antoine, Bertille; Lavergne, Pascal - 2019
Persistent link: https://www.econbiz.de/10012181463
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Identification-robust nonparametric inference in a linear IV mode
Antoine, Bertille; Lavergne, Pascal - 2020
Persistent link: https://www.econbiz.de/10012319253
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Identification-robust nonparametric inference in a linear IV model
Antoine, Bertille; Lavergne, Pascal - In: Journal of econometrics 235 (2023) 1, pp. 1-24
Persistent link: https://www.econbiz.de/10014434375
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Testing Mixture of Exponentials Hypothesis in Dynamic Duration Models
Chen, Fei - 2013
suggestion is that duration data have a mixture of exponentials representation. This hypothesis is tested by nonparametric method …
Persistent link: https://www.econbiz.de/10013082226