Estimation of The Stochastic Conditional Duration Model via Alternative Methods  

Oleh:

Knight, John ; Ning, Cathy Q.

Jenis: Article from Journal - ilmiah internasional
Dalam koleksi: The Econometrics Journal vol. 11 no. 3 (2008), page 593.
Topik: Estimation; Stochastic Conditional Duration Model; Alternative Methods
Fulltext: 593.pdf (756.41KB)

Ketersediaan

Perpustakaan Pusat (Semanggi) Nomor Panggil: EE39.4 Non-tandon: 1 (dapat dipinjam: 0) Tandon: tidak ada

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Isi artikel

This paper examines the estimation of the Stochastic Conditional Duration model by the empirical characteristic function and the generalized method of moments when maximum likelihood is unavailable. The joint characteristic function for the durations along with general expressions for the moments are derived, leading naturally to estimation via the empirical characteristic function and generalized method of moments. In a Monte Carlo study as well as an empirical application, these alternative methods are compared with quasi maximum likelihood. These experiments reveal that the empirical characteristic function approach outperforms the quasi maximum likelihood and generalized method of moments in terms of both bias and root mean square error.

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