testRmACD | R Documentation |
Tests if there is any remaining ACD structure in the residuals
testRmACD(fitModel, pStar = 2, robust = TRUE)
fitModel |
a fitted ACD model, i.e. an object of class "acdFit". |
pStar |
|
robust |
if |
For the model
the function tests the null hypothesis
a list of:
chi2 |
the value of the LM statistic. |
pv |
the pvalue of the test statistic. |
Markus Belfrage
Meitz, M. and Terasvirta, T. (2006). Evaluating models of autoregressive conditional duration. Journal of Business and Economic Statistics 24: 104-124.
testTVACD
, testSTACD
.
fitModel3000obs <- acdFit(adjDurData[1:3000,]) testRmACD(fitModel3000obs, pStar = 2, robust = TRUE)
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