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
This article develops a method for testing the goodness-of-fit of a given parametric autoregressive conditional duration model against unspecified nonparametric alternatives. The test statistics are functions of the residuals corresponding to the quasi maximum likelihood estimate of the given parametric model, and are easy to compute. The limiting distributions of the test statistics are not free from nuisance parameters. Hence, critical values cannot be tabulated for general use. A bootstrap procedure is proposed to implement the tests, and its asymptotic validity is established. The finite sample performances of the proposed tests and several other competing ones in the literature, were compared using a simulation study. The tests proposed in this article performed well consistently throughout, and they were either the best or close to the best. None of the tests performed uniformly the best. The tests are illustrated using an empirical example.
Metadata
Item Type: | Article |
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Authors/Creators: |
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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: |
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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: | 10.1080/07474938.2014.975644 |
Open Archives Initiative ID (OAI ID): | oai:eprints.whiterose.ac.uk:137670 |