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- W2041074963 abstract "Abstract This article proposes a semiparametric estimator of the parameter in a conditional duration model when there are inequality constraints on some parameters and the error distribution may be unknown. We propose to estimate the parameter by a constrained version of an unrestricted semiparametrically efficient estimator. The main requirement for applying this method is that the initial unrestricted estimator converges in distribution. Apart from this, additional regularity conditions on the data generating process or the likelihood function, are not required. Hence the method is applicable to a broad range of models where the parameter space is constrained by inequality constraints, such as the conditional duration models. In a simulation study involving conditional duration models, the overall performance of the constrained estimator was better than its competitors, in terms of mean squared error. A data example is used to illustrate the method. Keywords: Approximating coneConstrained inferenceConvex Approximating coneConvex parameter spaceOrder restricted inferenceProjection estimatorJEL Classification: C41C14 ACKNOWLEDGMENTS We wish express our warm appreciation to a referee, the associate editor, and Professor Maasoumi for constructive comments and suggestions. This research was supported under Australian Research Council's Discovery Projects funding scheme (project number DP0665710). We are grateful to Feike Drost and Bas Werker for helpful comments and suggestions and for providing a copy of their computer program, Param Silvapulle for constructive comments and suggestions, and Gunky Kim for help with the use of MATLAB and implementation of the DW-approach. We thank the Monash e-Science and Grid Engineering Lab for assistance with some computational aspects. Notes The sample size is 500 and the number of repeated samples is 500. The sample size is 500 and the number of repeated samples is 500. The sample size is 2000, and the number of repeated samples is 500. The sample size is 2000, and the number of repeated samples is 500." @default.
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- W2041074963 date "2011-04-01" @default.
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- W2041074963 title "Estimation Under Inequality Constraints: Semiparametric Estimation of Conditional Duration Models" @default.
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- W2041074963 doi "https://doi.org/10.1080/07474938.2011.553537" @default.
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