Detecting misspecifications in autoregressive conditional duration models and non-negative time-series processes

DOI10.1111/j.1467-9892.2010.00681.xzbMath1290.62076OpenAlexW2140401203MaRDI QIDQ4979076

Yongmiao Hong, Yoon-Jin Lee

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

zbMATH Keywords

nonlinear time seriesautoregressive conditional durationparameter estimation uncertaintyfinite sample correctiongeneralized spectral derivativedispersion clusteringWooldridge's device

Mathematics Subject Classification ID

Time series, auto-correlation, regression, etc. in statistics (GARCH) (62M10) Point estimation (62F10) Non-Markovian processes: hypothesis testing (62M07)

Related Items (8)

Evaluating multiplicative error models: a residual-based approach ⋮ Diagnostic checking of the vector multiplicative error model ⋮ A misspecification test for multiplicative error models of non-negative time series processes ⋮ Adaptive Lasso for vector Multiplicative Error Models ⋮ LACK-OF-FIT TESTING OF THE CONDITIONAL MEAN FUNCTION IN A CLASS OF MARKOV MULTIPLICATIVE ERROR MODELS ⋮ Fitting a two phase threshold multiplicative error model ⋮ On Diagnostic Checking Autoregressive Conditional Duration Models with Wavelet-Based Spectral Density Estimators ⋮ A Goodness-of-Fit Test for a Class of Autoregressive Conditional Duration Models

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