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

order restricted inferenceprojection estimatorconstrained inferenceapproximating coneconvex approximating coneconvex parameter space

Mathematics Subject Classification ID

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

Recommendations

• Constrained estimators of treatment parameters in semiparametric models
• Efficient semiparametric estimation of duration models with unobserved heterogeneity
• Semiparametrically efficient estimation of Euclidean parameters under equality constraints
• Tests against inequality constraints in semiparametric models
• Achieving Semiparametric Efficiency Bounds in Left-Censored Duration Models

Cites work

• A family of autoregressive conditional duration models
• Autoregressive Conditional Duration: A New Model for Irregularly Spaced Transaction Data
• Constrained Statistical Inference
• Estimation When a Parameter is on a Boundary
• Estimation of order-restricted means from correlated data
• 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)

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

This page was built for publication: Estimation under inequality constraints: semiparametric estimation of conditional duration models

Report a bug (only for logged in users!)Click here to report a bug for this page (MaRDI item Q3007553)