A crucially important advantage of the semiparametric regression approach to the nonlinear autoregressive conditional duration (ACD) model developed in Wongsaart et al. (2011), i.e. the so-called Semiparametric ACD (SEMI-ACD) model, is the fact that its estimation method does not require a...

This paper introduces an alternative testing procedure to test the distribution of the error term in the Autoregressive Conditional Duration (ACD) class of models. In these models, the error term is normally interpreted as the standardized duration by which its probability distribution may have...

In this paper, we propose a new diagnostic test for residual cross-section uncorrelatedness in a nonparametric panel data model. The proposed nonparametric cross-section uncorrelatedness (CU) test is a nonparametric counterpart of an existing parametric cross-section dependence (CD) test...