A Goodness-of-Fit Test for a Class of Autoregressive Conditional Duration Models

DOI10.1080/07474938.2014.975644zbMath1491.62122OpenAlexW2080443573MaRDI QIDQ5863649

Indeewara Perera, Javier Hidalgo, Mervyn J. Silvapullé

Publication date: 3 June 2022

Published in: Econometric Reviews (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1080/07474938.2014.975644

zbMATH Keywords

bootstrapCramér-von Mises statisticgoodness-of-fit testautoregressive conditional duration modelKolmogorov-Smirnov statistic

Mathematics Subject Classification ID

Applications of statistics to economics (62P20) Nonparametric hypothesis testing (62G10) Time series, auto-correlation, regression, etc. in statistics (GARCH) (62M10) Nonparametric statistical resampling methods (62G09)

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Evaluating multiplicative error models: a residual-based approach ⋮ Goodness-of-fit tests in conditional duration models ⋮ A class of minimum distance estimators in Markovian multiplicative error models ⋮ Specification Tests for GARCH Processes with Nuisance Parameters on the Boundary ⋮ Bootstrap inference for Hawkes and general point processes ⋮ Adaptive Lasso for vector Multiplicative Error Models ⋮ Bootstrap based probability forecasting in multiplicative error models ⋮ Fitting a two phase threshold multiplicative error model

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