testSTACD

Tests if the alpha parameters and the constant should be varying with the value of the lagged durations, according to a logistic transition function.

Package for Autoregressive Conditional Duration (ACD, Engle and Russell, 1998) models. Creates trade, price or volume durations from transactions (tic) data, performs diurnal adjustments, fits various ACD models and tests them.

Markus Belfrage

ACDm

Tools for Autoregressive Conditional Duration Models

testSTACD function

<dl> <dt>fitModel</dt>
<dd>a fitted ACD model, i.e. an object of class "acdFit".</dd> <dt>K</dt>
<dd>the order of the logistic transition function used for the alternative hypothesis.</dd> <dt>robust</dt>
<dd>if <code>TRUE</code> the LM statistic will be calculated using the "robust" version, making its asymptotic behavior unaffected by possible misspecification of the error term distribution (Meitz and Terasvirta, 2006).</dd></dl>

Arguments

LM test against Smooth Transition ACD models (Meitz and Terasvirta, 2006) — testSTACD

<dl>

 <dt>fitModel</dt>
<dd>a fitted ACD model, i.e. an object of class "acdFit".</dd>

 <dt>K</dt>
<dd>the order of the logistic transition function used for the alternative hypothesis.</dd>

 <dt>robust</dt>
<dd>if <code>TRUE</code> the LM statistic will be calculated using the "robust" version, making its asymptotic behavior unaffected by possible misspecification of the error term distribution (Meitz and Terasvirta, 2006).</dd>

</dl>

testSTACD: LM test against Smooth Transition ACD models (Meitz and Terasvirta, 2006)

Description

Usage

Value

Arguments

See Also

Examples