Evaluating Models of Autoregressive Conditional Duration

This article contains two novelties. First, a unified framework for testing and evaluating the adequacy of an estimated autoregressive conditional duration (ACD) model is presented. Second, two new classes of ACD models, the smooth transition ACD model and the time-varying ACD model, are introduced...

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Veröffentlicht in:	Journal of business & economic statistics 2006-01, Vol.24 (1), p.104-124
Hauptverfasser:	Meitz, Mika, Teräsvirta, Timo
Format:	Artikel
Sprache:	eng
Schlagworte:	Autoregressive conditional duration model Computer industry Consistent estimators Degrees of freedom Economic models Economic statistics Lagrange multiplier Lagrange multiplier test Model misspecification test Modeling Nonlinear time series Null hypothesis Parameter constancy Parametric models Regression analysis Sample size Securities trading Smooth transition autoregressive conditional duration model Studies Time series models Trade
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