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Book Chapter: Diagnostic Checking for Weibull Autoregressive Conditional Duration Models

TitleDiagnostic Checking for Weibull Autoregressive Conditional Duration Models
Authors
KeywordsAutoregressive conditional duration model
Weibull distribution
Model diagnostic checking
Residual autocorrelation
Issue Date2016
PublisherSpringer
Citation
Diagnostic Checking for Weibull Autoregressive Conditional Duration Models. In Li, WK ; Stanford, DA & Yu, H (Eds.), Advances in Time Series Methods and Applications: The A. Ian McLeod Festschrift, p. 107-114. New York: Springer, 2016 How to Cite?
AbstractWe derive the asymptotic distribution of residual autocorrelations for the Weibull autoregressive conditional duration (ACD) model, and this leads to a portmanteau test for the adequacy of the fitted Weibull ACD model. The finite-sample performance of this test is evaluated by simulation experiments and a real data example is also reported.
Persistent Identifierhttp://hdl.handle.net/10722/240385
ISBN

 

DC FieldValueLanguage
dc.contributor.authorZheng, Y-
dc.contributor.authorLi, Y-
dc.contributor.authorLi, WK-
dc.contributor.authorLi, G-
dc.date.accessioned2017-04-19T08:23:45Z-
dc.date.available2017-04-19T08:23:45Z-
dc.date.issued2016-
dc.identifier.citationDiagnostic Checking for Weibull Autoregressive Conditional Duration Models. In Li, WK ; Stanford, DA & Yu, H (Eds.), Advances in Time Series Methods and Applications: The A. Ian McLeod Festschrift, p. 107-114. New York: Springer, 2016-
dc.identifier.isbn9781493965670-
dc.identifier.urihttp://hdl.handle.net/10722/240385-
dc.description.abstractWe derive the asymptotic distribution of residual autocorrelations for the Weibull autoregressive conditional duration (ACD) model, and this leads to a portmanteau test for the adequacy of the fitted Weibull ACD model. The finite-sample performance of this test is evaluated by simulation experiments and a real data example is also reported.-
dc.languageeng-
dc.publisherSpringer-
dc.relation.ispartofAdvances in Time Series Methods and Applications: The A. Ian McLeod Festschrift-
dc.subjectAutoregressive conditional duration model-
dc.subjectWeibull distribution-
dc.subjectModel diagnostic checking-
dc.subjectResidual autocorrelation-
dc.titleDiagnostic Checking for Weibull Autoregressive Conditional Duration Models-
dc.typeBook_Chapter-
dc.identifier.emailLi, WK: hrntlwk@hkucc.hku.hk-
dc.identifier.emailLi, G: gdli@hku.hk-
dc.identifier.authorityLi, WK=rp00741-
dc.identifier.authorityLi, G=rp00738-
dc.identifier.doi10.1007/978-1-4939-6568-7_4-
dc.identifier.hkuros271743-
dc.identifier.spage107-
dc.identifier.epage114-
dc.publisher.placeNew York-

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