Drost, Feike C; Werker, Bas J M - In: Journal of Business & Economic Statistics 22 (2004) 1, pp. 40-50
In this article we consider semiparametric duration models and efficient estimation of the parameters in a non-iid environment. In contrast to classical time series models where innovations are assumed to be iid we show that in, for example, the often-used autoregressive conditional duration...