Showing 1 - 10 of 77
A Bayesian Markov Chain Monte Carlo methodology is developed for estimating the stochastic conditional duration model. The conditional mean of durations between trades is modelled as a latent stochastic process, with the conditional distribution of durations having positive support. The sampling...
Persistent link: https://www.econbiz.de/10005149083
The problem considered in this paper is how to find reliable prediction intervals with simple exponential smoothing and trend corrected exponential smoothing. Methods for constructing prediction intervals based on linear approximation and bootstrapping are proposed.
Persistent link: https://www.econbiz.de/10005087580
This paper derives six different forms of message length functions for general linear regression model. In so doing, two different prior densities and the idea of parameter orthogonality are employed.
Persistent link: https://www.econbiz.de/10005087586
It is well known that the usual techniques for estimating random and fixed effects panel data models are inconsistent in the dynamic setting. As a consequence, numerous consistent estimators have been proposed in the literature. However, all such estimators rely on certain well defined...
Persistent link: https://www.econbiz.de/10005087599
The main objective of this study is to investigate the rebustness of the popular Durbin-Watson (DW), Langrage multiplier (LM), Box-Pierce (BP) and Ljung-Box (LB) tests and their corrected versions against autoregressive distrurbances in the presence of dynamic heteroscedastic disturbances with...
Persistent link: https://www.econbiz.de/10005581120
In this paper two new estimators are offred (one each for the fixed random effects specifications), and small sample performance compared with that of all the existing estimators.
Persistent link: https://www.econbiz.de/10005581132
In this paper the EM algorithm, which has been used successfully with censored and incomplete data sets, is adapted to the problem of scrambled data. The performance of the method is assayed using an artificially constructed data set. The relevance of the results for a real world labour market...
Persistent link: https://www.econbiz.de/10005149045
In recent years, analysis of financial time series has focused largely on data related to market trading activity. Apart from modelling the conditional variance of returns within the GARCH family of models, presently attention has also been devoted to other market variables, especially volumes,...
Persistent link: https://www.econbiz.de/10010958946
This paper proposes a semiparametric method for estimating duration models when there are inequality constraints on some parameters and the error distribution may be unknown. Thus, the setting considered here is particularly suitable for practical applications. The parameters in duration models...
Persistent link: https://www.econbiz.de/10005581147
The paper is concerned with the analysis of strike data in which the distribution of short strikes differs from that of long strikes. It appears through visual inspection and asymptotic prodecures that for Israeli strikers in the years 1965-1992, the hazard function is exponential for strikes...
Persistent link: https://www.econbiz.de/10005149107