Code MEM

An Ox Package for Estimating, Forecasting and Simulating Multiplicative Error Models.

The project
To cite this article and package:
Disclaimer

The project

Multiplicative Errors Models (MEM) models are primarily concerned to model non-negatively time series. The most popular MEM type model is the Autoregressive Conditional Duration model (ACD -[Engle and Russell, 1998]) whose objective is the modeling of time between events. This model has led to the developments of a plethora of extensions, see [Pacurar, 2008] for a review.

This package intends to ease modelling of univariate Multiplicative Errors Models. Estimation, simulation and forecasting of the following models are currently supported: ACD, LOGACD, LOGACD2, PACD, EXACD, BCACD and FIACD. Generalised Autoregressive Score (GAS) models for positive series are also implemented. Available distributions for the errors are : Exponential, Generalised Gamma, Weibull and Burr.

Examples of output:

To cite this article and package:

Malick Fall, Waël Louhichi & Jean Laurent Viviani (2021) Forecasting the intra-day effective bid ask spread by combining density forecasts, Applied Economics, DOI: 10.1080/00036846.2021.1929821

Disclaimer

This package is functional, but no warranty is given whatsoever. Any bugs, typos in the manual, or suggestions for improvements should be reported to Malick Fall (email: malick [dot] falluniv-rennes1 [dot] fr) and will be greatly appreciated.