Diagnostic checking for weibull autoregressive conditional duration models

Yao ZHENG, Yang LI, Wai Keung LI, Guodong LI

Research output: Chapter in Book/Report/Conference proceedingChapter

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 languageEnglish
Title of host publicationAdvances in time series methods and applications: The A. Ian McLeod festschrift
EditorsWai Keung LI, David A. STANFORD, Hao YU
Place of PublicationNew York, NY
PublisherSpringer
Pages107-114
ISBN (Electronic)9781493965687
ISBN (Print)9781493965670
DOIs
Publication statusPublished - 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

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