Detecting misspecifications in autoregressive conditional duration models and non-negative time-series processes
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Publication:4979076
DOI10.1111/j.1467-9892.2010.00681.xzbMath1290.62076MaRDI QIDQ4979076
Publication date: 16 June 2014
Published in: Journal of Time Series Analysis (Search for Journal in Brave)
Full work available at URL: https://doi.org/10.1111/j.1467-9892.2010.00681.x
nonlinear time series; autoregressive conditional duration; parameter estimation uncertainty; finite sample correction; generalized spectral derivative; dispersion clustering; Wooldridge's device
62M10: Time series, auto-correlation, regression, etc. in statistics (GARCH)
62F10: Point estimation
62M07: Non-Markovian processes: hypothesis testing
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