Abstract
The asymptotic distribution of residual autocorrelations in the autoregressive conditional duration model is derived. This results in a portmanteau goodness-of-fit statistic for this kind of model. Our result extends the model diagnostic checking methodology of Box–Jenkins to the autoregressive conditional duration models. Copyright © 2002 Elsevier Science B.V. All rights reserved.
Original language | English |
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Pages (from-to) | 169-175 |
Journal | Economics Letters |
Volume | 79 |
Issue number | 2 |
DOIs | |
Publication status | Published - May 2003 |
Citation
Li, W. K., & Yu, P. L. H. (2003). On the residual autocorrelation of the autoregressive conditional duration model. Economics Letters, 79(2), 169-175. doi: 10.1016/S0165-1765(02)00303-8Keywords
- Asymptotic distribution
- Autoregressive conditional duration models
- Goodness-of-fit test
- Residual autocorrelations