Estimation under inequality constraints: semiparametric estimation of conditional duration models

DOI10.1080/07474938.2011.553537MaRDI QIDQ3007553zbMATH OpenOpenAlexFDO

Authors Kulan Ranasinghe, Mervyn J. Silvapulle

Publication date 16 June 2011

Published in Econometric Reviews (Search for Journal in Brave)

Full work available at URL https://doi.org/10.1080/07474938.2011.553537

zbMATH Keywords

approximating coneconstrained inferenceconvex approximating coneconvex parameter spaceorder restricted inferenceprojection estimator

Mathematics Subject Classification ID

Parametric inference under constraints (62F30) Nonparametric estimation (62G05) Asymptotic properties of nonparametric inference (62G20) Applications of statistics to economics (62P20)

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Cites work

• A family of autoregressive conditional duration models
• Autoregressive Conditional Duration: A New Model for Irregularly Spaced Transaction Data
• Constrained Statistical Inference
• Estimation of order-restricted means from correlated data
• Estimation When a Parameter is on a Boundary
• Inferences Under a Stochastic Ordering Constraint
• On the asymptotics of constrained \(M\)-estimation
• On the asymptotics of constrained local M-estimators.
• Semiparametric efficiency bounds
• Semiparametric theory and missing data.
• Testing for GARCH effects: A one-sided approach
• Testing joint hypotheses when one of the alternatives is one-sided
• Tests against inequality constraints in semiparametric models
• The Econometrics of Ultra-high-frequency Data
• The Local Nature of Hypothesis Tests Involving Inequality Constraints in Nonlinear Models

Cited in

(7)

• Tests against inequality constraints in semiparametric models
• A simple R-estimation method for semiparametric duration models
• Semiparametrically efficient estimation of Euclidean parameters under equality constraints
• Two-stage estimation of inequality-constrained marginal linear models with longitudinal data
• Estimation of the stochastic conditional duration model via alternative methods
• A semiparametric conditional duration model
• Semiparametric estimation of employment duration models

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