Autocontours: Dynamic Specification Testing
From MaRDI portal
Publication:5392696
DOI10.1198/jbes.2010.08144zbMath1214.62016MaRDI QIDQ5392696
Emre Yoldas, Gloria González-Rivera, Zeynep Senyuz
Publication date: 13 April 2011
Published in: Journal of Business & Economic Statistics (Search for Journal in Brave)
Full work available at URL: https://doi.org/10.1198/jbes.2010.08144
bootstrap; parameter uncertainty; autoregressive conditional duration model; probability contour plot
62M10: Time series, auto-correlation, regression, etc. in statistics (GARCH)
62E20: Asymptotic distribution theory in statistics
62F03: Parametric hypothesis testing
62F05: Asymptotic properties of parametric tests
Related Items
Alternative tests for correct specification of conditional predictive densities, Inference for vast dimensional elliptical distributions