Instrumental models and indirect encompassing

Article Abstract:

Nontested hypotheses tests were created through the use of indirect, simulation-based estimation procedures. The creation of such tests aims to enhance knowledge on the concept of encompassing and their relationship with testing procedures. It also aims to promote awareness on instrumental models, which serve as extension of instrumental variables that are utilized in simultaneous equation models.

Analysis, Mathematical models, Simulation methods, Simulation, Instrumental variables (Statistics), Instrumental variables

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Autoregressive conditional duration: a new model for irregularly spaced transaction data

Article Abstract:

A new statistical model called autoregressive conditional duration (ACD) model was developed to study data that arrive at irregular intervals. The model considered the time between events as stochastic process and recommended a novel type of point processes with dependent arrival rates. The ACD model generated duration clustering evidence for the financial transaction data investigated.

Research, Autoregression (Statistics), Time-series analysis, Time series analysis

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