A Goodness-of-Fit Test for a Class of Autoregressive Conditional Duration Models

Perera, I., Hidalgo, J. and Silvapulle, M.J. (2016) A Goodness-of-Fit Test for a Class of Autoregressive Conditional Duration Models. Econometric Reviews, 35 (6). pp. 1111-1141. ISSN 0747-4938

Abstract

Metadata

Authors/Creators:
  • Perera, I.
  • Hidalgo, J.
  • Silvapulle, M.J.
Copyright, Publisher and Additional Information: © Crown Copyright 2016.
Keywords: Autoregressive conditional duration model; Bootstrap; Cramér–von Mises statistic; Goodness-of-fit test; Kolmogorov–Smirnov statistic
Dates:
  • Published: 2 July 2016
  • Published (online): 12 October 2015
Institution: The University of Sheffield
Academic Units: The University of Sheffield > Faculty of Social Sciences (Sheffield) > Department of Economics (Sheffield)
Depositing User: Symplectic Sheffield
Date Deposited: 29 Oct 2018 14:43
Last Modified: 29 Oct 2018 14:43
Published Version: https://doi.org/10.1080/07474938.2014.975644
Status: Published
Publisher: Taylor & Francis
Refereed: Yes
Identification Number: https://doi.org/10.1080/07474938.2014.975644

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