Data-driven estimation of diurnal duration patterns
Yuanhua Feng ()
No 44, Working Papers CIE from Paderborn University, CIE Center for International Economics
This paper proposes a local linear estimator for diurnal patterns of transaction durations under a special nonparametric regression model, whose asymptotics are different to any known results. An iterative plug-in algorithm is developed for selecting the bandwidth. The ACD model is then applied to analyze the standardized durations. Data examples show that the proposals work well in practice.
Keywords: Autoregressive conditional duration; diurnal duration patterns; local linear estimator; bandwidth selection; iterative plug-in. (search for similar items in EconPapers)
JEL-codes: C14 C41 (search for similar items in EconPapers)
Pages: 7 pages
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Persistent link: https://EconPapers.repec.org/RePEc:pdn:ciepap:44
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