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Goodness-of-fit tests in conditional duration models

Author

Listed:
  • Simos G. Meintanis

    (National and Kapodistrian University of Athens
    North-West University)

  • Bojana Milošević

    (University of Belgrade)

  • Marko Obradović

    (University of Belgrade)

Abstract

We propose specification tests for the innovation distribution in conditional duration models. The new tests are based either on the cumulative distribution function, or on exponential transforms such as the Laplace transform and the characteristic function, or on characterizations of the innovation-distribution under test. We study the finite-sample performance of the proposed procedures in comparison with alternative tests which employ nonparametric density estimates as well as with tests based on entropy. A bootstrap version of the tests is utilized in order to study the small sample behavior of the procedures. A real-data example illustrates the applicability of our method and confirms conclusions drawn by earlier authors.

Suggested Citation

  • 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.
    • Handle: RePEc:spr:stpapr:v:61:y:2020:i:1:d:10.1007_s00362-017-0930-8
    DOI: 10.1007/s00362-017-0930-8
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    References listed on IDEAS

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    Cited by:

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    2. Ke, Rui & Lu, Wanbo & Jia, Jing, 2021. "Evaluating multiplicative error models: A residual-based approach," Computational Statistics & Data Analysis, Elsevier, vol. 153(C).

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