Anda belum login :: 08 Oct 2024 19:05 WIB
Home
|
Logon
Hidden
»
Administration
»
Collection Detail
Detail
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
Lihat Detail Induk
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.
Opini Anda
Klik untuk menuliskan opini Anda tentang koleksi ini!
Kembali
Process time: 0.015625 second(s)