                 **********************************************************";
                 *  Non-monotonic hazard functions and the autoregressive *";
                 *                  conditional duration model            *";
                 *            Joachim Grammig and Kai-Oliver Maurer       *";
                 *                 University of Frankfurt                *";
                 *                       EctJ, 2000                       *";
                 **********************************************************";

System Requirements:
====================

- Unix/DOS/Windows Version of GAUSS
- CML (Constrained Maximum Likelihood) Module for GAUSS.

The files ectjdata.zip and ectjprg.zip file contain:

ectjdata.zip:
=============
ba.fmt, xon.fmt,
dis.fmt, ibm.fmt,
ko.fmt:          Price duration data
                 for the five stocks considered (GAUSS.fmt files).

ba.csv, xon.csv,
dis.csv, ibm.csv,
ko.csv:          The same im plain ascii.

ectjprg.zip:
============
ectj.src: 	     File containing procedures for ACD estimation and testing.
ectj.prg:        The "executable" programm that produces the numerical and
                 graphical results.

15 GAUSS fmt files that contain starting values for the ML estimations.
Since these are already the maximim likelihood estimates, the algorithm does
not need any further iterations. (xon_eacd_o.fmt,.....)

ectj.out:        contains the log of a program run.

Installation and program runs:
==============================

1. Extract all files of ectjprg.zip except ectj.src into one folder. 
   
2. Extract all files in ectjdata.zip into the this folder.

3. Extract ectj.src into the folder \"your_gauss_root"\src were "your_gauss_root"
   denotes the name of your GAUSS directory. The src subpath is present in
   any GAUSS installation. You may also copy ectj.src in a folder of your
   system where it can be #included by GAUSS. The path where GAUSS looks for
   src-files can be altered by changing the default line

   src_path = $(GAUSSDIR)\src;$(GAUSSDIR)\examples; 

   in your GAUSS.CFG file.

4. Open GAUSS and change the path to the folder where you have extracted the files.

5. Run ectj.prg.

   Results are produced in this sequence:

   Boeing (in-sample)
   Boeing (out-of-sample)
   Coca-Cola (in-sample)
   Coca-Cola (out-of-sample)
   Disney (in-sample)
   Disney (out-of-sample)
   Exxon (in-sample)
   Exxon (out-of-sample)
   IBM (in-sample)
   IBM (out-of-sample)

   6 figures of graphical test results are produced for each stock. 
   The first three contain the in-sample, the second three the     
   out-of-sample charts. The EctJ article only contains the in-sample results
   for Exxon and IBM.
                                            
   The log file ectj.out contains all numerical output that should be produced
   by a correct program run.

Correspondence:
===============

grammig@wiwi.uni.frankfurt.de
http://www.wiwi.uni-frankfurt.de/Professoren/empwifo/jg.html.