Re: [Gretl-users] Autoregressive Conditional Duration Estimation
Hi,
I don't have any experience with these models myself. The document
http://neumann.hec.ca/gestiondesrisques/06-10.pdf looks good to me, if
you didn't know that already. The term ARMA pops up in there so maybe
that could help (gretl has a very good ARMA estimation algorithm).
Otherwise gretl can do generic ML estimation, but setting up the
specification of course requires some learning and some work.
good luck,
sven
Josephine Sudiman schrieb:
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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