Testing weak exogeneity in multiplicative error models
From MaRDI portal
Recommendations
- Lack-of-fit testing of the conditional mean function in a class of Markov multiplicative error models
- Specification tests for multiplicative error models
- Lagrance-multiplier tersts for weak exogeneity: a synthesis
- A misspecification test for multiplicative error models of non-negative time series processes
- The logarithmic vector multiplicative error model: an application to high frequency NYSE stock data
Cites work
- A family of autoregressive conditional duration models
- A general approach to Lagrange multiplier model diagnostics
- A multiple indicators model for volatility using intra-daily data
- A note on weak exogeneity in VAR cointegrated models
- 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
- Consequences and Detection of Misspecified Nonlinear Regression Models
- Exogeneity
- Finite sample properties of the QMLE for the log-ACD model: application to Australian stocks
- Lagrance-multiplier tersts for weak exogeneity: a synthesis
- Maximum Likelihood Estimation of Misspecified Models
- Modeling the interdependence of volatility and inter-transaction duration processes.
- On the interactions of unit roots and exogeneity
- Stochastic volatility duration models
- Testing for volatility interactions in the Constant Conditional Correlation GARCH model
- The Econometrics of Ultra-high-frequency Data
- The logarithmic vector multiplicative error model: an application to high frequency NYSE stock data
Cited in
(3)
This page was built for publication: Testing weak exogeneity in multiplicative error models
Report a bug (only for logged in users!)Click here to report a bug for this page (MaRDI item Q4555167)
