Document Zbl 1337.62216

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Econom.</a> <a href="/?q=in%3A354205" title="Articles in this Issue">127, No. 1, 35-68 (2005)</a>. </div> <div class="abstract">Summary: 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.</div> <div class="clear"></div> <br> <div class="citations"><div class="clear"><a href="/?q=rf%3A6561241">Cited in <strong>34</strong> Documents</a></div></div> <div class="classification"> <h3>MSC:</h3> <table><tr> <td> <a class="mono" href="/classification/?q=cc%3A62M07" title="MSC2020">62M07</a> </td> <td class="space"> Non-Markovian processes: hypothesis testing </td> </tr><tr> <td> <a class="mono" href="/classification/?q=cc%3A62M10" title="MSC2020">62M10</a> </td> <td class="space"> Time series, auto-correlation, regression, etc. in statistics (GARCH) </td> </tr><tr> <td> <a class="mono" href="/classification/?q=cc%3A62G10" title="MSC2020">62G10</a> </td> <td class="space"> Nonparametric hypothesis testing </td> </tr></table> </div><div class="keywords"> <h3>Keywords:</h3><a href="/?q=ut%3Aduration+models">duration models</a>; <a href="/?q=ut%3Agamma+kernel">gamma kernel</a>; <a href="/?q=ut%3Ahazard+rate">hazard rate</a>; <a href="/?q=ut%3Aspecification+testing">specification testing</a></div>  <div class="modal fade" id="metadataModal" tabindex="-1" role="dialog" aria-labelledby="myModalLabel"> <div class="modal-dialog" role="document"> <div class="modal-content"> <div class="modal-header"> <button type="button" class="close" data-dismiss="modal" aria-label="Close"><span aria-hidden="true">×</span></button> <h4 class="modal-title" id="myModalLabel">Cite</h4> </div> <div class="modal-body"> <div class="form-group"> <label for="select-output" class="control-label">Format</label> <select id="select-output" class="form-control" aria-label="Select Metadata format"></select> </div> <div class="form-group"> <label for="metadataText" class="control-label">Result</label> <textarea class="form-control" id="metadataText" rows="10" style="min-width: 100%;max-width: 100%"></textarea> </div> <div id="metadata-alert" class="alert alert-danger" role="alert" style="display: none;">  </div> </div> <div class="modal-footer"> <button type="button" class="btn btn-primary" onclick="copyMetadata()">Copy to clipboard</button> <button type="button" class="btn btn-default" data-dismiss="modal">Close</button> </div> </div> </div> </div> <div class="functions clearfix"> <div class="function">  <a type="button" class="btn btn-default btn-xs pdf" data-toggle="modal" data-target="#metadataModal" data-itemtype="Zbl" data-itemname="Zbl 1337.62216" data-ciurl="/ci/06561241" data-biburl="/bibtex/06561241.bib" data-amsurl="/amsrefs/06561241.bib" data-xmlurl="/xml/06561241.xml" > Cite </a> <a class="btn btn-default btn-xs pdf" data-container="body" type="button" href="/pdf/06561241.pdf" title="Zbl 1337.62216 as PDF">Review PDF</a> </div> <div class="fulltexts"> <span class="fulltext">Full Text:</span> <a class="btn btn-default btn-xs" type="button" href="https://doi.org/10.1016/j.jeconom.2004.06.003" aria-label="DOI for “Nonparametric specification tests for conditional duration models”" title="10.1016/j.jeconom.2004.06.003">DOI</a> <a class="btn btn-default btn-xs" type="button" href="http://hdl.handle.net/1814/733" title="Full Text Link">Link</a> </div> <div class="sfx" style="float: right;"> </div> </div> <div class="references"> <h3>References:</h3> <table><tr> <td>[1]</td> <td class="space">Admati, A. 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