Abstract
We derive the asymptotic distribution of residual autocorrelations for the Weibull autoregressive conditional duration (ACD) model, and this leads to a portmanteau test for the adequacy of the fitted Weibull ACD model. The finite-sample performance of this test is evaluated by simulation experiments and a real data example is also reported. Copyright © 2016 Springer Science+Business Media New York.
| Original language | English |
|---|---|
| Title of host publication | Advances in time series methods and applications: The A. Ian McLeod festschrift |
| Editors | Wai Keung LI, David A. STANFORD, Hao YU |
| Place of Publication | New York, NY |
| Publisher | Springer |
| Pages | 107-114 |
| ISBN (Electronic) | 9781493965687 |
| ISBN (Print) | 9781493965670 |
| DOIs | |
| Publication status | Published - 2016 |
Citation
Zheng, Y., Li, Y., Li, W. K., & Li, G. (2016). Diagnostic checking for weibull autoregressive conditional duration models. In W. K. Li, D. A. Stanford, & H. Yu (Eds.), Advances in time series methods and applications: The A. Ian McLeod festschrift (pp. 107-114). New York, NY: Springer.Keywords
- Autoregressive conditional duration model
- Weibull distribution
- Model diagnostic checking
- Residual autocorrelation