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

zbMATH Keywords

examplenonlinear equationssystem of stochastic differential equationscontinuous time modelsdiscrete alternativesCox test statisticVARMAXvector autoregressive moving averaging model

Mathematics Subject Classification ID

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

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• Specification testing in nonstationary time series models

Cites Work

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• Consistent maximum-likelihood estimation with dependent observations. The general (nonnormal) case and the normal case
• Error Correction and Long-Run Equilibrium in Continuous Time
• Further Results on Testing AR (1) Against MA (1) Disturbances in the Linear Regression Model
• 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
• Some tests of separate families of hypotheses in time series analysis
• Testing Non-Nested Nonlinear Regression Models
• Tests for model specification in the presence of alternative hypotheses

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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