SPECIFICATION TESTS FOR MULTIPLICATIVE ERROR MODELS
针对乘法误差模型，提出了检验条件均值和误差分布参数设定的方法，并利用自助法计算p值，在模拟和实际波动率数据中表现良好。
The family of multiplicative error models is important for studying non-negative variables such as realized volatility, trading volume, and duration between consecutive financial transactions. Methods are developed for testing the parametric specification of a multiplicative error model, which consists of separate parametric models for the conditional mean and the error distribution. The same method can also be used for testing the specification of the error distribution provided the conditional mean is correctly specified. A bootstrap method is proposed for computing the p-values of the tests and is shown to be consistent. The proposed tests have nontrivial asymptotic power against a class of O ( n −1/2 )-local alternatives. The tests performed well in a simulation study, and they are illustrated using a data example on realized volatility.