Public Lectures on Structural Econometrics - CEMMAP masterclass - Shared screen with speaker view
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Are we excluding day orders?
Can we infer anything about the distribution G(u)?
@Marco: a limit order is a type of daily order. Are you thinking differently?
it depends on the time unit
or are you asking about the difference between limit orders and limit day orders?
Limit order is an order that is open only during the market day
is there a typo for the sum over k?
@Yaolang are you referring to the picking-off risk equation? Or which one?
the picking-off risk
It looks like it should be over k’, let me ask
Can I ask you if the memoryless property of the Poisson process arrival can interfere with the picking off risk?
Why can we not directly test the strict inequality?
Let’s wait for the end of this slide, @Kevin, if you still have the doubt let us know
The problem with strict inequality is that the null hypothesis is composite.
Thanks, that makes sense
So you will use the "worse" point in the null which is the equality point which is in turn not in the null.
Jung S. You
Thank you very much!
Thanks a lot
Dr. Destaings Nyongesa
Thank you so much
Thanks very much!
Thank you very much
Which software can be used to estimate the LOM model?
any you are comfortable with!
stata and above...
Thank you@ Elena