Goodness-of-fit tests in conditional duration models
From MaRDI portal
Publication:2175644
DOI10.1007/s00362-017-0930-8zbMath1437.62120OpenAlexW2724340141MaRDI QIDQ2175644
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
Applications of statistics to economics (62P20) Parametric hypothesis testing (62F03) Bootstrap, jackknife and other resampling methods (62F40)
Related Items
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
Cites Work
- Unnamed Item
- Unnamed Item
- Unnamed Item
- Goodness-of-Fit Tests for the Gamma Distribution Based on the Empirical Laplace Transform
- Nonparametric specification tests for conditional duration models
- Comparing distributions
- A class of consistent tests for exponentiality based on the empirical Laplace transform
- Entropy test and residual empirical process for autoregressive conditional duration models
- Recent and classical tests for exponentiality: a partial review with comparisons
- Global power functions of goodness of fit tests.
- New class of exponentiality tests based on U-empirical Laplace transform
- The stochastic conditional duration model: a latent variable model for the analysis of financial durations
- On asymptotic efficiency of exponentiality tests based on Rossberg's characterization
- Asymptotic efficiency of new exponentiality tests based on a characterization
- A WARP-SPEED METHOD FOR CONDUCTING MONTE CARLO EXPERIMENTS INVOLVING BOOTSTRAP ESTIMATORS
- Estimation of the stochastic conditional duration model via alternative methods
- ON THE LACK OF POWER OF OMNIBUS SPECIFICATION TESTS
- Bootstrap Approximations in Model Checks for Regression
- Autoregressive Conditional Duration: A New Model for Irregularly Spaced Transaction Data
- Non‐monotonic hazard functions and the autoregressive conditional duration model
- GOODNESS-OF-FIT TESTS BASED ON A NEW CHARACTERIZATION OF THE EXPONENTIAL DISTRIBUTION
- A Goodness-of-Fit Test for a Class of Autoregressive Conditional Duration Models
