This survey is devoted to the statistical analysis of duration models and point processes. The first section introduces specific concepts and definitions for single-spell duration models. Section two is devoted to the presentation of conditional duration models which incorporate the effects of...

In this paper we propose a novel method to construct confidence intervals in a class of linear inverse problems. First, point estimators are obtained via a spectral cut-off method depending on a regularisation parameter », that determines the bias of the estimator. Next, the proposed confidence...

This paper proposes a new Bayesian approach for estimating, nonparametrically, parameters in econometric models that are characterized as the solution of a linear inverse problem. By using a Gaussian process prior distribution we propose the posterior mean as an estimator and prove consistency,...

This paper proposes a new Bayesian approach for estimating, nonparametrically, functional parameters in econometric models that are characterized as the solution of a linear inverse problem. By using a Gaussian process prior distribution we propose the posterior mean as an estimator and prove...

The focus of this paper is the nonparametric estimation of an instrumental regression function f defined by conditional moment restrictions that stem from a structural econometric model E[Y − f (Z) | W] = 0, and involve endogenous variables Y and Z and instruments W. The function f is the...

We consider a kernel-based approach to nonlinear canonical correlation analysis and its implementation for time series. We deduce a test procedure of the reversibility hypothesis. The method is applied to the analysis of stochastic differential equation from high-frequency data on stock returns.

We decompose a stationary Markov process (Xt) as a linear combination of ARMA. These decompositions are deduced from a nonlinear canonical decomposition of the joint distribution of (Xt, Xt−1).

This paper surveys Bayesian procedures of testing along with different attitudes of econometricians facing testing problems with some sympathy for Bayesian ideas. In the first part, the general Bayesian testing procedures are structured along two main axes. The first one presents the usual...