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econ.EM2023
Asymptotics for the Generalized Autoregressive Conditional Duration Model
Giuseppe Cavaliere, Thomas Mikosch, Anders Rahbek +1
Engle and Russell (1998, Econometrica, 66:1127--1162) apply results from the GARCH literature to prove consistency and asymptotic normality of the (exponential) QMLE for the genera…
econ.EM2023
Penalized Quasi-likelihood Estimation and Model Selection in Time Series Models with Parameters on the Boundary
Heino Bohn Nielsen, Anders Rahbek
We extend the theory from Fan and Li (2001) on penalized likelihood-based estimation and model-selection to statistical and econometric models which allow for non-negativity constr…