Autocontours: Dynamic Specification Testing

DOI10.1198/JBES.2010.08144zbMath1214.62016OpenAlexW2037325988MaRDI 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

zbMATH Keywords

bootstrapparameter uncertaintyautoregressive conditional duration modelprobability contour plot

Mathematics Subject Classification ID

Time series, auto-correlation, regression, etc. in statistics (GARCH) (62M10) Asymptotic distribution theory in statistics (62E20) Parametric hypothesis testing (62F03) Asymptotic properties of parametric tests (62F05)

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