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In this paper, we build tests for the presence of residual noise in a modelwhere the market microstructure noise is a known parametric function of somevariables from the limit order book. The tests compare two distinctquasi-maximum likelihood estimators of volatility, where the related modelincludes a residual noise in the market microstructure noise or not. The limittheory is investigated in a general nonparametric framework. In the presence ofresidual noise, we examine the central limit theory of the relatedquasi-maximum likelihood estimation approach.

Testing if the market microstructure noise is fully explained by the informational content of some variables from the limit order book