Goodness-of-fit tests in conditional duration models

DOI10.1007/S00362-017-0930-8zbMATH Open1437.62120OpenAlexW2724340141MaRDI QIDQ2175644FDOQ2175644

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

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• scientific article; zbMATH DE number 5233407

zbMATH Keywords

specification testbootstrap testconditional duration model

Mathematics Subject Classification ID

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

Cites Work

• Global power functions of goodness of fit tests.
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• Estimation of the stochastic conditional duration model via alternative methods
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• Entropy test and residual empirical process for autoregressive conditional duration models

Cited In (5)

• Evaluating multiplicative error models: a residual-based approach
• Goodness-of-fit tests for parametric specifications of conditionally heteroscedastic models
• Tests for heteroskedasticity in transformation models
• Specification diagnostics for duration models. A martingale approach
• New characterization-based exponentiality tests for randomly censored data

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