Diagnostic checking for weibull autoregressive conditional duration models

Yao ZHENG; Yang LI; Wai Keung LI; Guodong LI

doi:10.1007/978-1-4939-6568-7_4

Diagnostic checking for weibull autoregressive conditional duration models

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

Department of Mathematics and Information Technology (MIT)

Research output: Chapter in Book/Report/Conference proceeding › Chapters

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	https://doi.org/10.1007/978-1-4939-6568-7_4
Publication status	Published - 2016

Keywords

Autoregressive conditional duration model
Weibull distribution
Model diagnostic checking
Residual autocorrelation

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10.1007/978-1-4939-6568-7_4

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Diagnostic checking for weibull autoregressive conditional duration models

Abstract

Keywords

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