A nonnested approach to testing continuous time models against discrete alternatives

DOI10.1016/0304-4076(93)90069-HMaRDI QIDQ1801422zbMATH OpenOpenAlexFDO

Authors Marcus J. Chambers

Publication date 9 January 1994

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

Full work available at URL https://doi.org/10.1016/0304-4076(93)90069-h

zbMATH Keywords

continuous time modelsCox test statisticdiscrete alternativesexamplenonlinear equationssystem of stochastic differential equationsVARMAXvector autoregressive moving averaging model

Mathematics Subject Classification ID

Non-Markovian processes: hypothesis testing (62M07) Time series, auto-correlation, regression, etc. in statistics (GARCH) (62M10) Applications of statistics to economics (62P20)

Review text

The author considers a test of two competing models where one is formulated in continuous time as a system of stochastic differential equations and the other is formulated in discrete time as a system of nonlinear equations. The Cox test statistic is derived [\textit{D. R. Cox}, Proc. 4th Berkeley Sympos. Math. Statist. Probab. 1, 105-123 (1961)] and an illustrative example is presented.

Recommendations

• Nonparametric tests of the Markov hypothesis in continuous-time models
• Non-parametric testing of discrete panel data models
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• A consistent model specification test with mixed discrete and continuous data
• Specification testing in nonstationary time series models

Cites work

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Cited in

(4)

• Using discrete-time techniques to test continuous-time models for nonlinearity in drift
• Characteristic function-based testing for multifactor continuous-time Markov models via nonparametric regression
• Assessing Persistence In Discrete Nonstationary Time‐Series Models
• Alternative Procedures to Discriminate Non Nested Multivariate Linear Regression Models

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