Specification testing in discretized diffusion models: theory and practice

DOI10.1016/J.JECONOM.2008.09.006zbMath1429.62468OpenAlexW1964702858MaRDI QIDQ299265

Isabel Casas, J. T. Gao

Publication date: 22 June 2016

Published in: Journal of Econometrics (Search for Journal in Brave)

Full work available at URL: https://mpra.ub.uni-muenchen.de/11980/1/MPRA_paper_11980.pdf

zbMATH Keywords

kernel methodsize functionpower functionnonparametric testingcontinuous-time diffusion processtime series econometrics

Mathematics Subject Classification ID

Applications of statistics to economics (62P20) Density estimation (62G07) Nonparametric hypothesis testing (62G10) Time series, auto-correlation, regression, etc. in statistics (GARCH) (62M10) Asymptotic properties of nonparametric inference (62G20) Applications of statistics to actuarial sciences and financial mathematics (62P05) Markov processes: hypothesis testing (62M02)

Related Items (12)

Multidimensional specification test based on non-stationary time series ⋮ An updated review of goodness-of-fit tests for regression models ⋮ Testing for the presence of jump components in jump diffusion models ⋮ Nonparametric tests of the Markov hypothesis in continuous-time models ⋮ A specification test of stochastic diffusion models ⋮ Information ratio test for model misspecification on parametric structures in stochastic diffusion models ⋮ Specification tests for univariate diffusions ⋮ A test for a parametric form of the volatility in second-order diffusion models ⋮ Goodness-of-fit test for interest rate models: an approach based on empirical processes ⋮ Empirical‐process‐based specification tests for diffusion models ⋮ Asymptotically distribution-free tests for the volatility function of a diffusion ⋮ Test for dispersion constancy in stochastic differential equation models

Cites Work

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• Fully Nonparametric Estimation of Scalar Diffusion Models
• ADAPTIVE TESTING IN CONTINUOUS-TIME DIFFUSION MODELS
• The bootstrap and Edgeworth expansion

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