Re: [Gretl-users] Autoregressive Conditional Duration Estimation
Hi,
If you want a basic ACD estimation, according to "COROLLARY TO LEE AND
HANSEN (1994)" on page 1135 in Engle, Jeffrey R. Russell (1998):
...the [ACD] model can be estimated with ARCH software by taking x^0.5
as the dependent variable and setting the mean to zero....
That is, the usual GARCH function can work for estimating (basic) ACD models.
Good luck!
Reference:
Robert F. Engle, Jeffrey R. Russell (1998) "Autoregressive Conditional
Duration: A New Model for Irregularly Spaced Transaction Data."
Econometrica, Vol. 66, No. 5 (Sep., 1998), pp. 1127-1162
Yi-Nung Yang
2010/3/31 Josephine Sudiman <jsudiman(a)yahoo.com>:
Dear All,
My name is Josephine, currently doing my postgraduate research degree. I
am recently trying to learn GRETL to estimate my ACD (Autoregressive
Conditional Duration), a model which shres similar concept to GARCH. While
the latter concerns about modelling the hetero issue of mean equation, the
former is about duration. Some suggests that I have to use Maximum
Likelihood Estimation for estimate the conditional duration. I am also not
sure how to estimate it given various assumption of residual
distribution. It would be a great help for me and I will be very pleased to
have anything related to this issue. Many thanks in advance for your kind
attention.
Warm regards,
Josephine
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