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各位，请问ACD 模型的估计如何实现呢？多谢啦！

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关键词：ACD 如何实现 模型 ACD

The Econometrics of Ultra-High Frequency Data

Robert F. Engle A complete transactions record is defined to be ultra-high frequency data. The transaction arrival times and associated characteristics can be analyzed by marked point processes. The ACD model developed by Engle and Russell (1998) is then applied to IBM transactions data to develop semi-parametric hazard estimates and measures of conditional variances. Both returns and variances are negatively influenced by surprisingly long durations as suggested by asymmetric information models of market micro-structure.

Efficient Estimation in Semiparametric Time Series: the ACD Model Feike Drost (University of Tilburg)

ABSTRACT

In this paper we consider efficient estimation in semiparametric ACD models. We consider a suite of model specifications that impose less and less structure. We calculate the corresponding efficiency bounds, discuss the construction of efficient estimators in each case, and study the efficiency loss between the models. We provide a simulation study that shows the practical gain from using the proposed semiparametric procedures. We find that, although one does not gain as much as theory suggests, these semiparametric procedures definitely outperform more classical procedures.

Paper available as pdf file | postscript file

谢谢！可以用参数方法估计吗？半参数不是很熟悉。

The ACD model, proposed in Engle-Russell (1998), is aimed at analysing the transaction process: it is the first appropriate statistical tool available for testing the microstrauctural hypotheses. The ACD model addresses the problem of the irregular time spacing of transaction data. Notice that it would be inappropriate to aggregate over time in order to get equally spaced data, since the time spacing of transactions is one of the relevant issues in the market behaviour, and hence aggregating over time would lead to a loss of information. Often the information systems of the stock markets provide also information about the behaviour of the market maker, as the bid and ask prices, the corresponding depth, and the timing of change of the quota. In the recent literature some bivariate extensions of the ACD model have been proposed, in order to make a joint analysis of the transaction process and the activity of the market maker (Russell, 1998 and Engle-Lunde, 1999). However, these models are in a very early stage of development, and it is our opinion that they can be significantly improved on both theoretical and empirical ground.

谢谢楼上对acd模型的介绍。我现在需要用这个模型作实证分析，但是不知道如何编写这个程序：（找到一个gauss code 但是用不了。请问有谁知道应该如何做吗？再次谢谢！

Somebody said:

"To Run GAUSS Programs for A family of Autoregressive conditional duration models, You need the GAUSS modules CML (Constrained Maxmum Likelihood) and CO (Constrained Optimization) on your machines".

[此贴子已经被作者于2005-4-4 3:10:34编辑过]

11353.rar (35.49 KB, 需要: 10 个论坛币)

2005-4-4 02:53:00 上传

ACD 模型
需要: 10 个论坛币  [购买]

[此贴子已经被作者于2005-4-4 2:59:36编辑过]

11354.rar (297.41 KB, 需要: 10 个论坛币) 本附件包括：

• Constrained Optimization.pdf

2005-4-4 02:58:00 上传

ACD 模型
需要: 10 个论坛币  [购买]

谢谢楼上的指教!我初学GAUSS，主要是对似然函数进行QML估计,请教是否同时需要加载这两个工具包？

多谢！