testRmACD {ACDm} | R Documentation |
LM test of no Remaining ACD (Meitz and Terasvirta, 2006)
Description
Tests if there is any remaining ACD structure in the residuals
Usage
testRmACD(fitModel, pStar = 2, robust = TRUE)
Arguments
fitModel |
a fitted ACD model, i.e. an object of class "acdFit". |
pStar |
the number of alpha parameters in the alternative hypothesis. See |
robust |
if |
Details
For the model
the function tests the null hypothesis
Value
a list containing:
chi2 |
the value of the LM statistic. |
pv |
the pvalue of the test statistic. |
Author(s)
Markus Belfrage
References
Meitz, M. and Terasvirta, T. (2006). Evaluating models of autoregressive conditional duration. Journal of Business and Economic Statistics 24: 104-124.
See Also
Examples
fitModel3000obs <- acdFit(adjDurData[1:3000,])
testRmACD(fitModel3000obs, pStar = 2, robust = TRUE)
[Package ACDm version 1.0.4.3 Index]