Article ID Journal Published Year Pages File Type
5059643 Economics Letters 2013 6 Pages PDF
Abstract
This paper investigates the Estimating Function method in the context of ACD modelling and appraises the properties of these estimates. A simulation study is conducted to demonstrate that these estimates are more efficient than the corresponding ML and QML estimates.
Keywords
Related Topics
Social Sciences and Humanities Economics, Econometrics and Finance Economics and Econometrics
Preview
The efficient modelling of high frequency transaction data: A new application of estimating functions in financial economics
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