In this paper, we study the entropy test for the goodness of fit test in (nonlinear) autoregressive conditional duration (ACD) models. To implement a test, we first explore the null limiting distribution of the residual empirical process from ACD models and verify that it has an asymptotic...

This paper aims to detect the presence of local non-stationarity of nonlinear autoregressive processes with heteroskedastic errors. A Bayesian test is developed to test for the unit root in multi-regime threshold autoregression with heteroskedasticity. To implement a test, a posterior odds...