A simple IID test for autoregressive conditional duration models

Wei Yang and Fei Chen

Applied Economics Letters, 2016, vol. 23, issue 14, 1026-1028

Abstract: We propose using the rank-based variance ratio test as an easy-to-implement test for testing the independent and identically distributed assumption of autoregressive conditional duration (ACD) models. We apply the proposed test to duration data of five stocks and get the same conclusions as previous studies.

Date: 2016
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DOI: 10.1080/13504851.2015.1130212

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