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Detecting misspecifications in autoregressive conditional duration models and non‐negative time‐series processes

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  • Yongmiao Hong
  • Yoon‐Jin Lee

Abstract

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  • Yongmiao Hong & Yoon‐Jin Lee, 2011. "Detecting misspecifications in autoregressive conditional duration models and non‐negative time‐series processes," Journal of Time Series Analysis, Wiley Blackwell, vol. 32(1), pages 1-32, January.
    • Handle: RePEc:bla:jtsera:v:32:y:2011:i:1:p:1-32
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    Cited by:

    1. Patrick W Saart & Jiti Gao & Nam Hyun Kim, 2014. "Econometric Time Series Specification Testing in a Class of Multiplicative Error Models," Monash Econometrics and Business Statistics Working Papers 1/14, Monash University, Department of Econometrics and Business Statistics.
    2. Ng, F.C. & Li, W.K. & Yu, Philip L.H., 2016. "Diagnostic checking of the vector multiplicative error model," Computational Statistics & Data Analysis, Elsevier, vol. 94(C), pages 86-97.
    3. Gao, Jiti & Kim, Nam Hyun & Saart, Patrick W., 2015. "A misspecification test for multiplicative error models of non-negative time series processes," Journal of Econometrics, Elsevier, vol. 189(2), pages 346-359.
    4. Ke, Rui & Lu, Wanbo & Jia, Jing, 2021. "Evaluating multiplicative error models: A residual-based approach," Computational Statistics & Data Analysis, Elsevier, vol. 153(C).
    5. Perera, Indeewara & Koul, Hira L., 2017. "Fitting a two phase threshold multiplicative error model," Journal of Econometrics, Elsevier, vol. 197(2), pages 348-367.

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