Non-Parametric Specification Tests for Conditional Duration Models

Marcelo Fernandes and Joachim Grammig ()

Economics Working Papers from European University Institute

Abstract: This paper deals with the estimation and testing of conditional duration models by looking at the density and baseline hazard functions. More precisely, we focus on the distance between the aprametric density (or hazard rate) function implied by the duration process and its non-parametric estimate.

Keywords: ECONOMIC MODELS; TESTING; SIMULATION (search for similar items in EconPapers)
JEL-codes: C14 C51 C52 (search for similar items in EconPapers)
Pages: 51 pages
Date: 2000
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Citations: View citations in EconPapers (6)

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Related works:
Journal Article: Nonparametric specification tests for conditional duration models (2005)
Working Paper: Nonparametric specification tests for conditional duration models (2003)
Working Paper: NON-PARAMETRIC SPECIFICATION TESTS FOR CONDITIONAL DURATION MODELS (2000)
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Persistent link: https://EconPapers.repec.org/RePEc:eui:euiwps:eco2000/4

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