A moment closed form estimator for the autoregressive conditional duration model

作者：Lu, Wanbo^*; Ke, Rui; Liang, Jingwen

来源：Statistical Papers, 2016, 57(2): 329-344.

DOI：10.1007/s00362-014-0652-0

• Autoregressive conditional duration model
• Moment estimator
• Quasi-maximum likelihood estimator
• Monte Carlo simulation

A moment closed form estimator for the autoregressive conditional duration model is proposed in this paper. The estimator has the advantage over the often used quasi-maximum likelihood estimator in which it can be easily obtained and does not require the use of any numerical optimization and iterative procedure or the choice of initial value of the conditional mean process. We find that the estimator is consistent and weakly converged when the second moment of the duration exits. The estimator is shown to be -asymptotically normally distributed when the fourth moment exits. A large number of simulation studies confirm our theoretical results.

• 出版日期2016-4
• 单位西南财经大学