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Book Chapter: Diagnostic Checking for Weibull Autoregressive Conditional Duration Models

TitleDiagnostic Checking for Weibull Autoregressive Conditional Duration Models
Authors
Zheng, YLi, YLi, WKLi, G
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?
DOI: http://dx.doi.org/10.1007/978-1-4939-6568-7_4
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
9781493965670
ISSN
1069-5265

 

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.issn1069-5265-
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.scopuseid_2-s2.0-85005976123-
dc.identifier.hkuros271743-
dc.identifier.spage107-
dc.identifier.epage114-
dc.identifier.eissn2194-1564-
dc.publisher.placeNew York-
dc.identifier.issnl1069-5265-

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