Abstract
In this study we proposed a new framework for the estimation of sequential trade models. Our intention was to extend the scope of these models to the analysis of high frequency data sets based on intradaily sampling schemes. Most previous studies employed a daily sampling scheme thus neglecting a significant portion of the available information. We introduced several extensions of the basic sequential trade model for this purpose and laid out in detail the close connection between the inherent economic theory and the econometric methods we used. Furthermore, we showed how statistical tests can be used to test certain aspects of the underlying theory, that have not been assessed in previous empirical studies of sequential trade models.
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© 2004 Springer-Verlag Berlin Heidelberg
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Kokot, S. (2004). Conclusions. In: The Econometrics of Sequential Trade Models. Lecture Notes in Economics and Mathematical Systems, vol 538. Springer, Berlin, Heidelberg. https://doi.org/10.1007/978-3-642-17115-4_6
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DOI: https://doi.org/10.1007/978-3-642-17115-4_6
Publisher Name: Springer, Berlin, Heidelberg
Print ISBN: 978-3-540-20814-3
Online ISBN: 978-3-642-17115-4
eBook Packages: Springer Book Archive