Diagnostic checking of Markov multiplicative error models

DOI10.1016/J.ECONLET.2018.06.010zbMath1401.62154OpenAlexW2809010440WikidataQ129626185 ScholiaQ129626185MaRDI QIDQ1787720

Shuo Li, Bin Guo

Publication date: 5 October 2018

Published in: Economics Letters (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1016/j.econlet.2018.06.010

zbMATH Keywords

time seriesspecification testmultiplicative error model

Mathematics Subject Classification ID

Applications of statistics to economics (62P20) Time series, auto-correlation, regression, etc. in statistics (GARCH) (62M10)

Related Items (4)

Evaluating multiplicative error models: a residual-based approach ⋮ A class of minimum distance estimators in Markovian multiplicative error models ⋮ Bootstrap based probability forecasting in multiplicative error models ⋮ A minimum distance lack-of-fit test in a Markovian multiplicative error model

Cites Work

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• Nonparametric specification tests for conditional duration models
• A misspecification test for multiplicative error models of non-negative time series processes
• Autoregressive Conditional Duration: A New Model for Irregularly Spaced Transaction Data
• Handbook of Volatility Models and Their Applications
• LACK-OF-FIT TESTING OF THE CONDITIONAL MEAN FUNCTION IN A CLASS OF MARKOV MULTIPLICATIVE ERROR MODELS
• A nonlinear autoregressive conditional duration model with applications to financial transaction data

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