Estimation under inequality constraints: semiparametric estimation of conditional duration models
DOI10.1080/07474938.2011.553537zbMATH Open1217.62043OpenAlexW2041074963MaRDI QIDQ3007553FDOQ3007553
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
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order restricted inferenceprojection estimatorconstrained inferenceapproximating coneconvex approximating coneconvex parameter space
Nonparametric estimation (62G05) Asymptotic properties of nonparametric inference (62G20) Applications of statistics to economics (62P20) Parametric inference under constraints (62F30)
Cites Work
- Testing for GARCH effects: A one-sided approach
- Semiparametric theory and missing data.
- Constrained Statistical Inference
- Semiparametric efficiency bounds
- On the asymptotics of constrained \(M\)-estimation
- 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
- A family of autoregressive conditional duration models
- The Local Nature of Hypothesis Tests Involving Inequality Constraints in Nonlinear Models
- Testing joint hypotheses when one of the alternatives is one-sided
- On the asymptotics of constrained local \(M\)-estimators.
- Inferences Under a Stochastic Ordering Constraint
- Tests against inequality constraints in semiparametric models
- Estimation of order-restricted means from correlated data
Cited In (7)
- Semiparametric estimation of employment duration models
- Estimation of the stochastic conditional duration model via alternative methods
- Two-stage estimation of inequality-constrained marginal linear models with longitudinal data
- A semiparametric conditional duration model
- A simple R-estimation method for semiparametric duration models
- Tests against inequality constraints in semiparametric models
- Semiparametrically efficient estimation of Euclidean parameters under equality constraints
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