Detecting misspecifications in autoregressive conditional duration models and non-negative time-series processes

CORC > 厦门大学 > 王亚南院－已发表论文

	Detecting misspecifications in autoregressive conditional duration models and non-negative time-series processes
	Hong, Yongmiao ; Lee, Yoon-Jin ; Hong YM(洪永淼)
刊名	http://dx.doi.org/10.1111/j.1467-9892.2010.00681.x
	2011-01
关键词	GENERALIZED SPECTRAL TESTS SPECIFICATION TESTS DENSITY FORECASTS TRANSACTION DATA UNKNOWN FORM ROBUST
英文摘要	National Science Foundation of China; Chinese Ministry of Education; Department of Economics, Indiana University, USA; Xiamen University, China; We develop a general theory to test correct specification of multiplicative error models of non-negative time-series processes, which include the popular autoregressive conditional duration (ACD) models. Both linear and nonlinear conditional expectation models are covered, and standardized innovations can have time-varying conditional dispersion and higher-order conditional moments of unknown form. No specific estimation method is required, and the tests have a convenient null asymptotic N(0,1) distribution. To reduce the impact of parameter estimation uncertainty in finite samples, we adopt Wooldridge's (1990a) device to our context and justify its validity. Simulation studies show that in the context of testing ACD models, finite sample correction gives better sizes in finite samples and are robust to parameter estimation uncertainty. And, it is important to take into account time-varying conditional dispersion and higher-order conditional moments in standardized innovations; failure to do so can cause strong overrejection of a correctly specified ACD model. The proposed tests have reasonable power against a variety of popular linear and nonlinear ACD alternatives.
语种	英语
出版者	J TIME SER ANAL
内容类型	期刊论文
源URL	[http://dspace.xmu.edu.cn/handle/2288/91500]
专题	王亚南院－已发表论文
推荐引用方式 GB/T 7714	Hong, Yongmiao,Lee, Yoon-Jin,Hong YM. Detecting misspecifications in autoregressive conditional duration models and non-negative time-series processes[J]. http://dx.doi.org/10.1111/j.1467-9892.2010.00681.x,2011.
APA	Hong, Yongmiao,Lee, Yoon-Jin,&洪永淼.(2011).Detecting misspecifications in autoregressive conditional duration models and non-negative time-series processes.http://dx.doi.org/10.1111/j.1467-9892.2010.00681.x.
MLA	Hong, Yongmiao,et al."Detecting misspecifications in autoregressive conditional duration models and non-negative time-series processes".http://dx.doi.org/10.1111/j.1467-9892.2010.00681.x (2011).