Evaluating multiplicative error models: a residual-based approach

DOI10.1016/J.CSDA.2020.107086MaRDI QIDQ830601OpenAlexFDO

Authors Rui Ke, Wanbo Lu, Jing Jia

Publication date 7 May 2021

Published in Computational Statistics and Data Analysis (Search for Journal in Brave)

Full work available at URL https://doi.org/10.1016/j.csda.2020.107086

zbMATH Keywords

portmanteau testresidual-based testdiagnostic checkingmultiplicative error model

Mathematics Subject Classification ID

Statistics (62-XX)

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Cites work

• scientific article; zbMATH DE number 3797061 (Why is no real title available?)
• A goodness-of-fit test for a class of autoregressive conditional duration models
• A misspecification test for multiplicative error models of non-negative time series processes
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• Autoregressive Conditional Duration: A New Model for Irregularly Spaced Transaction Data
• Capturing common components in high-frequency financial time series: a multivariate stochastic multiplicative error model
• Detecting misspecifications in autoregressive conditional duration models and non-negative time-series processes
• Diagnostic checking for the adequacy of nonlinear time series models
• Diagnostic checking of Markov multiplicative error models
• Diagnostic checking of the vector multiplicative error model
• Estimation of semivarying coefficient time series models with ARMA errors
• Evaluating financial time series models for irregularly spaced data: a spectral density approach
• Evaluating vector multiplicative error models with the Hosking-Ljung-Box Portmanteau test and kernel-based test statistics
• Goodness-of-fit tests in conditional duration models
• Lack-of-fit testing of the conditional mean function in a class of Markov multiplicative error models
• Nonparametric specification tests for conditional duration models
• On the residual autocorrelation of the autoregressive conditional duration model
• Residual-based test for fractional cointegration
• Residual‐based diagnostics for conditional heteroscedasticity models
• Specification tests for multiplicative error models
• Testing conditional asymmetry: a residual-based approach
• The Multivariate Portmanteau Statistic
• The asymptotic effect of substituting estimators for parameters in certain types of statistics

Cited in

(4)

• Bootstrap based probability forecasting in multiplicative error models
• Diagnostic checking of the vector multiplicative error model
• Weighted empirical likelihood estimator for vector multiplicative error model
• Evaluating vector multiplicative error models with the Hosking-Ljung-Box Portmanteau test and kernel-based test statistics

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