A nonnested approach to testing continuous time models against discrete alternatives
DOI10.1016/0304-4076(93)90069-HzbMATH Open0778.62078OpenAlexW1993597940MaRDI QIDQ1801422FDOQ1801422
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
Recommendations
- Nonparametric tests of the Markov hypothesis in continuous-time models
- Non-parametric testing of discrete panel data models
- Nonparametric tests for model selection with time series data
- Model specification tests against non-nested alternatives
- Nonnested model comparisons for time series
- A consistent model specification test with mixed discrete and continuous data
- Specification testing in nonstationary time series models
examplenonlinear equationssystem of stochastic differential equationscontinuous time modelsdiscrete alternativesCox test statisticVARMAXvector autoregressive moving averaging model
Time series, auto-correlation, regression, etc. in statistics (GARCH) (62M10) Applications of statistics to economics (62P20) Non-Markovian processes: hypothesis testing (62M07)
Cites Work
- Testing Non-Nested Nonlinear Regression Models
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- Error Correction and Long-Run Equilibrium in Continuous Time
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- Consistent maximum-likelihood estimation with dependent observations. The general (nonnormal) case and the normal case
- ON THE FIRST–ORDER EFFICIENCY AND ASYMPTOTIC NORMALITY OF MAXIMUM LIKELIHOOD ESTIMATORS OBTAINED FROM DEPENDENT OBSERVATIONS
- Regularity conditions for Cox's test of non-nested hypotheses
- Title not available (Why is that?)
- Tests for model specification in the presence of alternative hypotheses
- Some tests of separate families of hypotheses in time series analysis
- Further Results on Testing AR (1) Against MA (1) Disturbances in the Linear Regression Model
Cited In (4)
- Using discrete-time techniques to test continuous-time models for nonlinearity in drift
- Alternative Procedures to Discriminate Non Nested Multivariate Linear Regression Models
- Assessing Persistence In Discrete Nonstationary Time‐Series Models
- Characteristic function-based testing for multifactor continuous-time Markov models via nonparametric regression
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