Entropy test and residual empirical process for autoregressive conditional duration models
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DOI: 10.1016/j.csda.2014.12.006
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- Shen, Junshan & Yuen, Kam Chuen & Liu, Chunling, 2016. "Empirical likelihood confidence regions for one- or two- samples with doubly censored data," Computational Statistics & Data Analysis, Elsevier, vol. 93(C), pages 285-293.
- Simos G. Meintanis & Bojana Milošević & Marko Obradović, 2020. "Goodness-of-fit tests in conditional duration models," Statistical Papers, Springer, vol. 61(1), pages 123-140, February.
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Keywords
Entropy based goodness of fit test; Residual empirical process; Nonlinear ACD model; Parametric bootstrap method;All these keywords.
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