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Fitting a pth Order Parametric Generalized Linear Autoregressive Multiplicative Error Model

Author

Listed:
  • N. Balakrishna

    (Cochin University of Science and Technology)

  • H. L. Koul

    (Michigan State University)

  • M. Ossiander

    (Oregon State University)

  • L. Sakhanenko

    (Michigan State University)

Abstract

This paper is concerned with the problem of fitting a generalized linear model to the conditional mean function of multiplicative error time series models. These models are particularly suited to model nonnegative time series such as the duration between trades at a stock exchange and volume transactions. The proposed test, based on a marked residual empirical process whose marks are suitably defined residuals and which jumps at the estimated indices, is shown to be asymptotically distribution free.

Suggested Citation

  • N. Balakrishna & H. L. Koul & M. Ossiander & L. Sakhanenko, 2019. "Fitting a pth Order Parametric Generalized Linear Autoregressive Multiplicative Error Model," Sankhya B: The Indian Journal of Statistics, Springer;Indian Statistical Institute, vol. 81(1), pages 103-122, September.
    • Handle: RePEc:spr:sankhb:v:81:y:2019:i:1:d:10.1007_s13571-019-00195-w
    DOI: 10.1007/s13571-019-00195-w
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    References listed on IDEAS

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    4. Maria Pacurar, 2008. "Autoregressive Conditional Duration Models In Finance: A Survey Of The Theoretical And Empirical Literature," Journal of Economic Surveys, Wiley Blackwell, vol. 22(4), pages 711-751, September.
    5. Meitz, Mika & Terasvirta, Timo, 2006. "Evaluating Models of Autoregressive Conditional Duration," Journal of Business & Economic Statistics, American Statistical Association, vol. 24, pages 104-124, January.
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    7. Nikolaus Hautsch, 2012. "Econometrics of Financial High-Frequency Data," Springer Books, Springer, number 978-3-642-21925-2, September.
    8. Koul, Hira L. & Perera, Indeewara & Silvapulle, Mervyn J., 2012. "Lack-Of-Fit Testing Of The Conditional Mean Function In A Class Of Markov Multiplicative Error Models," Econometric Theory, Cambridge University Press, vol. 28(6), pages 1283-1312, December.
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    Cited by:

    1. Balakrishna, N. & Kim, Jiwoong & Koul, Hira L., 2020. "Lack-of-fit of a parametric measurement error AR(1) model," Statistics & Probability Letters, Elsevier, vol. 166(C).

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