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Diagnostic Checking for Weibull Autoregressive Conditional Duration Models

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Advances in Time Series Methods and Applications

Part of the book series: Fields Institute Communications ((FIC,volume 78))

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Abstract

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.

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Acknowledgements

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.

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Authors and Affiliations

  1. Department of Statistics and Actuarial Science, University of Hong Kong, Pokfulam Road, Hong Kong

    Yao Zheng, Yang Li, Wai Keung Li & Guodong Li

Authors
  1. Yao Zheng
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  2. Yang Li
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  3. Wai Keung Li
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  4. Guodong Li
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Corresponding author

Correspondence to Yao Zheng .

Editor information

Editors and Affiliations

  1. Dept. of Statistics & Actuarial Science, University of Hong Kong , Hong Kong, Hong Kong

    Wai Keung Li

  2. Dept. of Statistica & Actuarial Sciences, University of Western Ontario Dept. of Statistica & Actuarial Sciences, London, Ontario, Canada

    David A. Stanford

  3. Dept. of Statistica & Actuarial Science, University of Western Ontario Dept. of Statistica & Actuarial Science, London, Ontario, Canada

    Hao Yu

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Zheng, Y., Li, Y., Li, W.K., Li, G. (2016). Diagnostic Checking for Weibull Autoregressive Conditional Duration Models. In: Li, W., Stanford, D., Yu, H. (eds) Advances in Time Series Methods and Applications . Fields Institute Communications, vol 78. Springer, New York, NY. https://doi.org/10.1007/978-1-4939-6568-7_4

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