Testing the Conditional Mean Function of Autoregressive Conditional Duration Models
نویسندگان
چکیده
منابع مشابه
Testing the Conditional Mean Function of Autoregressive Conditional Duration Models
In this paper, we suggest and evaluate specification tests to test the validity of the conditional mean function implied by Autoregressive Conditional Duration (ACD) models. We propose Lagrange multiplier tests against sign bias alternatives, various types of conditional moment tests and integrated conditional moment tests which are consistent against all possible alternatives. In a Monte-Carlo...
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ژورنال
عنوان ژورنال: SSRN Electronic Journal
سال: 2006
ISSN: 1556-5068
DOI: 10.2139/ssrn.951399