On the residual autocorrelation of the autoregressive conditional duration model

Wai Keung LI; Leung Ho Philip YU

doi:10.1016/S0165-1765(02)00303-8

On the residual autocorrelation of the autoregressive conditional duration model

Department of Mathematics and Information Technology (MIT)

Research output: Contribution to journal › Articles › peer-review

18 Citations (Scopus)

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
Pages (from-to)	169-175
Journal	Economics Letters
Volume	79
Issue number	2
DOIs	https://doi.org/10.1016/S0165-1765(02)00303-8
Publication status	Published - May 2003

Keywords

Asymptotic distribution
Autoregressive conditional duration models
Goodness-of-fit test
Residual autocorrelations

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10.1016/S0165-1765(02)00303-8

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AB - 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.

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On the residual autocorrelation of the autoregressive conditional duration model

Abstract

Keywords

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