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Stochastic Conditional Duration Model with a Mixture-of-Normal Error Distribution : Theoretical Properties and Monte-Carlo Results
Xu, Dinghai - 2013
This paper provides theoretical properties and Monte-Carlo studies of a stochastic conditional duration model with … capturing various density shapes of the expected duration of financial trades as well as accommodating various types of …
Persistent link: https://www.econbiz.de/10013084061
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Essays in the econometrics of dynamic duration models with application to tick by tick financial data
Galli, Fausto - 2009
Persistent link: https://www.econbiz.de/10003986565
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Nonparametric identification and estimation of dynamic treatment effects for survival data in a regression discontinuity design
Lv, Xiaofeng; Sun, Xu-Ran; Lu, Yue; Li, Rui - In: Economics letters 184 (2019), pp. 1-5
Persistent link: https://www.econbiz.de/10012304774
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A general semiparametric approach to inference with marker-dependent hazard rate models
Berg, Gerard J. van den; Janys, Lena; Mammen, Enno; … - In: Journal of econometrics 221 (2021) 1, pp. 43-67
Persistent link: https://www.econbiz.de/10012618795
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Semiparametric estimation of a proportional Hazard model with unobserved heterogeneity
Horowitz, Joel - In: Econometrica : journal of the Econometric Society, an … 67 (1999) 5, pp. 1001-1028
Persistent link: https://www.econbiz.de/10001405835
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Inference on causal effects in a generalized regression kink design
Card, David E.; Lee, David S.; Pei, Zhuan; Weber, Andrea - In: Econometrica : journal of the Econometric Society, an … 83 (2015) 6, pp. 2453-2483
Persistent link: https://www.econbiz.de/10011431547
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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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Endogenously censored median regression with an application to benefit elasticity of US unemployment duration
Szydłowski, Arkadiusz - 2017
Persistent link: https://www.econbiz.de/10011612647
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Inference on causal effects in a generalized Regression Kink Design
Pei, Zhuan; Card, David E.; Lee, David S.; Weber, Andrea - 2014
Persistent link: https://www.econbiz.de/10010505297
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Policy discontinuity and duration outcomes
Berg, Gerard J. van den; Bozio, Antoine; Dias, Mónica Costa - 2015
Causal effects of a policy change on hazard rates of a duration outcome variable are not identified from a comparison …
Persistent link: https://www.econbiz.de/10010530519