Abstract:

This paper solves the statistical test problem of an autoregressive conditional duration (ACD) models based on an empirical likelihood method. We construct the logempirical likelihood ratio statistics for the parameters of ACD model. it is showed that the proposed statistics asymptotically follows  an χ²-distribution. A numerical simulation  demonstrates that the performance of the empirical likelihood method are better than that of the quasi-likelihood method.

Key words: autoregressive conditional duration (ACD) model; , quasi-likelihood function; , empirical likelihood, autoregressive condition