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Non-Parametric Specification Tests For Conditional Duration Models

  • Marcelo Fernandes

    (European University Institute)

  • Joachim Grammig

    (University of Frankfurt)

This paper deals with the estimation and testing of conditional duration models by looking at the density and hazard rate functions. More precisely, we focus on the distance between the parametric density (or hazard rate) function implied by the duration process and its non-parametric estimate. Asymptotic justification is derived using the functional delta method for fixed and gamma kernels, whereas finite sample properties are investigated through Monte Carlo simulations. Finally, we show the practical usefulness of such testing procedures by carrying out an empirical assessment of whether autoregressive conditional duration models are appropriate tools for modelling price durations of stocks traded at the New York Stock Exchange

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Paper provided by Society for Computational Economics in its series Computing in Economics and Finance 2000 with number 40.

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Date of creation: 05 Jul 2000
Date of revision:
Handle: RePEc:sce:scecf0:40
Contact details of provider: Postal: CEF 2000, Departament d'Economia i Empresa, Universitat Pompeu Fabra, Ramon Trias Fargas, 25,27, 08005, Barcelona, Spain
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