Diagnostic Checking for Weibull Autoregressive Conditional Duration Models
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We derive the asymptotic distribution of residual autocorrelations for the Weibull autoregressive conditional duration (ACD) model, and this leads to a portmanteau test for the adequacy of the fitted Weibull ACD model. The finite-sample performance of this test is evaluated by simulation experiments and a real data example is also reported.
KeywordsAutoregressive conditional duration model Weibull distribution Model diagnostic checking Residual autocorrelation
Mathematics Subject Classification (2010)Primary 62M10 91B84 Secondary 37M10
We are grateful to the co-editor and two anonymous referees for their valuable comments and constructive suggestions that led to the substantial improvement of this paper.