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

Journal of Time Series Analysis

Volumn 32, Issue 1, 2011, Pages 1-32

  Hong, Yongmiao ^a   Lee, Yoon Jin ^b  

^a XIAMEN UNIVERSITY   (China)

^b INDIANA UNIVERSITY   (United States)

Author keywords

Autoregressive conditional duration; Dispersion clustering; Finite sample correction; Generalized spectral derivative; Nonlinear time series; Parameter estimation uncertainty; Wooldridge's Device

Indexed keywords

EID: 78650059592     PISSN: 01439782     EISSN: 14679892     Source Type: Journal    
DOI: 10.1111/j.1467-9892.2010.00681.x     Document Type: Article

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