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Efficient Estimation in Semiparametric Time Series: the ACD Model

  • Feike C. Drost

    (Tilburg University)

  • Bas J. M. Werker

    (Tilburg University)

In this paper we consider efficient estimation in semiparametric ACD models. We consider a suite of model specifications that impose less and less structure. We calculate the corresponding efficiency bounds, discuss the construction of efficient estimators in each case, and study tvide a simulation study that shows the practical gain from using the proposed semiparametric procedures. We find that, although one does not gain as much as theory suggests, these semiparametric procedures definitely outperform more classical procedures. We apply the procedures to model semiparametrically durations observed on the Paris Bourse for the Alcatel stock in July and August 1996.

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Paper provided by Econometric Society in its series Econometric Society World Congress 2000 Contributed Papers with number 0836.

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Date of creation: 01 Aug 2000
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Handle: RePEc:ecm:wc2000:0836
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