Nonparametric specification tests for conditional duration models

Marcelo Fernandes and Joachim Grammig ()

No 502, FGV EPGE Economics Working Papers (Ensaios Economicos da EPGE) from EPGE Brazilian School of Economics and Finance - FGV EPGE (Brazil)

Abstract: This paper deals with the testing of autoregressive conditional duration (ACD) models by gauging the distance between the parametric density and hazard rate functions implied by the duration process and their non-parametric estimates. We derive the asymptotic justification using the functional delta method for fixed and gamma kernels, and then investigate the finite-sample properties through Monte Carlo simulations. Although our tests display some size distortion, bootstrapping suffices to correct the size without compromising their excellent power. We show the practical usefulness of such testing procedures for the estimation of intraday volatility patterns.

Date: 2003-10-06
New Economics Papers: this item is included in nep-ecm, nep-ets and nep-fin
References: View references in EconPapers View complete reference list from CitEc
Citations: View citations in EconPapers (8)

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Related works:
Journal Article: Nonparametric specification tests for conditional duration models (2005)
Working Paper: Non-Parametric Specification Tests for Conditional Duration Models (2000)
Working Paper: NON-PARAMETRIC SPECIFICATION TESTS FOR CONDITIONAL DURATION MODELS (2000)
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Persistent link: https://EconPapers.repec.org/RePEc:fgv:epgewp:502

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