ACDm (version 1.0.4.3)

plotHazard: Hazard function plot

Description

Estimates and plots the hazard function from an estimatated ACD model.

Usage

plotHazard(fitModel, breaks = 20, implied = TRUE, xstop)

Arguments

fitModel

an estimated model of class acdFit. Can also be a numerical vector.

breaks

the number of quantiles used to estimate the hazard.

implied

a logical flag. If TRUE then the implied hazard function using the distribution parameter estimates will be plotted together with the nonparametric estimate of the error term hazard function.

xstop

where to stop plotting the implied hazard.

Author

Markus Belfrage

Details

This estimator of the hazard function is based on the one used by Engle and Russell (1998). It is modified sligthly to decrease its bias and inconsistency. However, the estimator is still not fully consistent when using a fixed number of breaks (quantiles).

References

Engle, R.F and Russell, J.R. (1998) Autoregressive Conditional Duration: A New Model for Irregularly Spaced Transaction Data. Econometrica, 66(5): 1127-1162.

Examples

if (FALSE) {

fitModelWei <- acdFit(adjDurData, dist = "wei")
plotHazard(fitModelWei)
}