Fitting a pth Order Parametric Generalized Linear Autoregressive Multiplicative Error Model

N. Balakrishna (), H. L. Koul (), M. Ossiander () and L. Sakhanenko ()
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N. Balakrishna: Cochin University of Science and Technology
H. L. Koul: Michigan State University
M. Ossiander: Oregon State University
L. Sakhanenko: Michigan State University

Sankhya B: The Indian Journal of Statistics, 2019, vol. 81, issue 1, No 4, 103-122

Abstract: 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.

Keywords: Martingale transform; AR conditional duration models; Primary 62M02; Secondary 62M10 (search for similar items in EconPapers)
Date: 2019
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Citations: View citations in EconPapers (1)

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DOI: 10.1007/s13571-019-00195-w

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