Detecting misspecifications in autoregressive conditional duration models and non-negative time-series processes (Q4979076)
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scientific article; zbMATH DE number 6304750
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| English | Detecting misspecifications in autoregressive conditional duration models and non-negative time-series processes |
scientific article; zbMATH DE number 6304750 |
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Detecting misspecifications in autoregressive conditional duration models and non-negative time-series processes (English)
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16 June 2014
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autoregressive conditional duration
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dispersion clustering
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finite sample correction
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generalized spectral derivative
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nonlinear time series
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parameter estimation uncertainty
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Wooldridge's device
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0.89269763
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0.8809295
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0.8792198
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0.87879163
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0.8782643
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0.87484086
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0.86911374
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