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Non-Parametric Specification Tests for Conditional Duration Models

  • Fernandes, M.
  • Grammig, J.

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.

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Paper provided by European University Institute in its series Economics Working Papers with number eco2000/4.

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Length: 51 pages
Date of creation: 2000
Date of revision:
Handle: RePEc:eui:euiwps:eco2000/4
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