Sankhya B

pp 1–20 | Cite as

Fitting a pth Order Parametric Generalized Linear Autoregressive Multiplicative Error Model

  • N. BalakrishnaEmail author
  • H. L. Koul
  • M. Ossiander
  • L. Sakhanenko


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 and phrases

Martingale transform AR conditional duration models 

AMS (2000) subject classification

Primary 62M02 Secondary 62M10 


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Authors would like to thank the referees for their thoughtful comments that helped to improve the presentation.


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Copyright information

© Indian Statistical Institute 2019

Authors and Affiliations

  • N. Balakrishna
    • 1
    Email author
  • H. L. Koul
    • 2
  • M. Ossiander
    • 3
  • L. Sakhanenko
    • 2
  1. 1.Cochin University of Science and TechnologyKochiIndia
  2. 2.Michigan State UniversityEast LansingUSA
  3. 3.Oregon State UniversityCorvallisUSA

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