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Non-Parametric Specification Tests for Conditional Duration Models

Author

Listed:
  • Fernandes, M.
  • Grammig, J.

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.

Suggested Citation

  • Fernandes, M. & Grammig, J., 2000. "Non-Parametric Specification Tests for Conditional Duration Models," Economics Working Papers eco2000/4, European University Institute.
    • Handle: RePEc:eui:euiwps:eco2000/4
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    JEL classification:

    • C14 - Mathematical and Quantitative Methods - - Econometric and Statistical Methods and Methodology: General - - - Semiparametric and Nonparametric Methods: General
    • C51 - Mathematical and Quantitative Methods - - Econometric Modeling - - - Model Construction and Estimation
    • C52 - Mathematical and Quantitative Methods - - Econometric Modeling - - - Model Evaluation, Validation, and Selection

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