Goodness-of-fit tests in conditional duration models

DOI10.1007/S00362-017-0930-8zbMath1437.62120OpenAlexW2724340141MaRDI QIDQ2175644

Yanyan Li

Publication date: 29 April 2020

Published in: Statistical Papers (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1007/s00362-017-0930-8

zbMATH Keywords

specification testbootstrap testconditional duration model

Mathematics Subject Classification ID

Applications of statistics to economics (62P20) Parametric hypothesis testing (62F03) Bootstrap, jackknife and other resampling methods (62F40)

Related Items (4)

Evaluating multiplicative error models: a residual-based approach ⋮ New characterization-based exponentiality tests for randomly censored data ⋮ Tests for heteroskedasticity in transformation models ⋮ Goodness-of-fit tests for parametric specifications of conditionally heteroscedastic models

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