For the conditional mean function of panel count model with time-varying coefficients, we propose to use local kernel regression method for estimation. Partial log-likelihood polynomial is formed Under some regularity conditions, strong uniform consistency rates are obtained estimator. At target time point, show that estimator converges in distribution normal distribution. The baseline also sho...

Abstract A new approach for modeling lead–lag relationships in high-frequency financial markets is proposed. The model accommodates non-synchronous trading and market microstructure noise as well intraday variations of relationships, which are essential empirical applications. simple statistical methodology analyzing the proposed presented, well. illustrated by an study to detect between S&...