Nonparametric specification tests for conditional duration models
- Author
- FERNANDES, Marcelo1 ; GRAMMIG, Joachim2
[1] Graduate School of Economics, Getulio Vargas Foundation, Praia de Botafogo 190, 22253-900 Rio de Janeiro, RJ, Brazil
[2] Faculty of Economics, University of Tübingen, Mohlslrasse 36, 72074 Tübingen, Germany - Source
Journal of econometrics. 2005, Vol 127, Num 1, pp 35-68, 34 p ; ref : 2 p.3/4
- CODEN
- JECMB6
- ISSN
- 0304-4076
- Scientific domain
- Control theory, operational research; Mathematics
- Publisher
- Elsevier, Amsterdam
- Publication country
- Netherlands
- Document type
- Article
- Language
- English
- Author keyword
- C14 C41 C52 Duration models Gamma kernel Hazard rate Specification testing
- Keyword (fr)
- Analyse donnée Approximation asymptotique Donnée économique Econométrie Estimation paramètre Estimation statistique Fonction densité Loi conditionnelle Modèle autorégressif Méthode Monte Carlo Méthode statistique Simulation Test non paramétrique 62E17 62F40 65C05 Modèle durée Noyau gamma Taux hasard Test spécification
- Keyword (en)
- Data analysis Asymptotic approximation Economic data Econometrics Parameter estimation Statistical estimation Density function Conditional distribution Autoregressive model Monte Carlo method Statistical method Simulation Non parametric test Duration model Gamma kernel Hazard rate Specification test
- Keyword (es)
- Análisis datos Aproximación asintótica Dato económico Econometría Estimación parámetro Estimación estadística Función densidad Ley condicional Modelo autorregresivo Método Monte Carlo Método estadístico Simulación Prueba no paramétrica
- Classification
- Pascal
- 001 Exact sciences and technology / 001A Sciences and techniques of general use / 001A02 Mathematics / 001A02H Probability and statistics / 001A02H01 Probability theory and stochastic processes / 001A02H01K Special processes (renewal theory, markov renewal processes, semi-markov processes, statistical mechanics type models, applications)
- Pascal
- 001 Exact sciences and technology / 001A Sciences and techniques of general use / 001A02 Mathematics / 001A02H Probability and statistics / 001A02H02 Statistics / 001A02H02H Nonparametric inference
- Pascal
- 001 Exact sciences and technology / 001A Sciences and techniques of general use / 001A02 Mathematics / 001A02H Probability and statistics / 001A02H02 Statistics / 001A02H02N Applications / 001A02H02N2 Insurance, economics, finance
- Discipline
- Mathematics
- Origin
- Inist-CNRS
- Database
- PASCAL
- INIST identifier
- 16705444
Sauf mention contraire ci-dessus, le contenu de cette notice bibliographique peut être utilisé dans le cadre d’une licence CC BY 4.0 Inist-CNRS / Unless otherwise stated above, the content of this bibliographic record may be used under a CC BY 4.0 licence by Inist-CNRS / A menos que se haya señalado antes, el contenido de este registro bibliográfico puede ser utilizado al amparo de una licencia CC BY 4.0 Inist-CNRS
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DOI
10.1016/j.jeconom.2004.06.003 
https://dx.doi.org/10.1016/j.jeconom.2004.06.003
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