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Activity Number: 61
Type: Contributed
Date/Time: Sunday, August 3, 2008 : 4:00 PM to 5:50 PM
Sponsor: Section on Statistical Computing
Abstract - #301454
Title: An Open Source Library for the Estimation and Evaluation of ACD Models
Author(s): Guillaume Weisang*+
Companies: Bentley College
Address: Morison 309, Waltham, MA, 02452,
Keywords: Autoregressive Conditional Duration model ; estimation procedure ; tests statistics ; open source
Abstract:

Following the publication of the first Autoregressive Conditional Duration (ACD) model by Engle and Russel (1998), numerous new specifications have been published in the literature. At the same time, tests statistics have been developed for the evaluation of ACD models. This paper provides an open source library of statistical procedures for the estimation of the standard linear ACD models, as well as the augmented models family presented by Fernandes and Grammig (2006). Source code of some statistical tests for the evaluation of the models, including distributional misspecification tests (Fernandes & Grammig 2005) and LM tests for misspecified mean equations (Meitz & Teräsvirta 2006), is provided as well. Several empirical applications are also presented.

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