testSTACD {ACDm} | R Documentation |
LM test against Smooth Transition ACD models (Meitz and Terasvirta, 2006)
Description
Tests if the alpha parameters and the constant should be varying with the value of the lagged durations, according to a logistic transition function (currently only works for model = "ACD"
).
Usage
testSTACD(fitModel, K = 2, robust = TRUE)
Arguments
fitModel |
a fitted ACD model, i.e. an object of class "acdFit". |
K |
the order of the logistic transition function used for the alternative hypothesis. |
robust |
if |
Value
a list of:
chi2 |
the value of the LM statistic. |
pv |
the pvalue of the test statistic. |
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
data(adjDurData)
fitModel3000obs <- acdFit(adjDurData[1:3000,])
testSTACD(fitModel3000obs, K = 2, robust = TRUE)