Estimation Under Inequality Constraints: Semiparametric Estimation of Conditional Duration Models

DOI10.1080/07474938.2011.553537zbMath1217.62043MaRDI QIDQ3007553

Mervyn J. Silvapullé, Kulan Ranasinghe

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

order restricted inference; projection estimator; constrained inference; approximating cone; convex approximating cone; convex parameter space

Mathematics Subject Classification ID

62P20: Applications of statistics to economics

62G20: Asymptotic properties of nonparametric inference

62G05: Nonparametric estimation

62F30: Parametric inference under constraints

Cites Work

• A family of autoregressive conditional duration models
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• Autoregressive Conditional Duration: A New Model for Irregularly Spaced Transaction Data
• Estimation When a Parameter is on a Boundary
• The Econometrics of Ultra-high-frequency Data
• The Local Nature of Hypothesis Tests Involving Inequality Constraints in Nonlinear Models
• Inferences Under a Stochastic Ordering Constraint