Evaluating models of autoregressive conditional duration
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- 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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More about this item
Keywords
ACD model; Model misspecification test; Lagrange multiplier test; Smooth transition ACD model; Nonlinear time series; Parameter constancy;All these keywords.
JEL classification:
- C22 - Mathematical and Quantitative Methods - - Single Equation Models; Single Variables - - - Time-Series Models; Dynamic Quantile Regressions; Dynamic Treatment Effect Models; Diffusion Processes
- C41 - Mathematical and Quantitative Methods - - Econometric and Statistical Methods: Special Topics - - - Duration Analysis; Optimal Timing Strategies
- C52 - Mathematical and Quantitative Methods - - Econometric Modeling - - - Model Evaluation, Validation, and Selection
NEP fields
This paper has been announced in the following NEP Reports:- NEP-ECM-2004-03-14 (Econometrics)
- NEP-ETS-2004-03-14 (Econometric Time Series)
- NEP-FIN-2004-03-14 (Finance)
- NEP-RMG-2004-03-14 (Risk Management)
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