Bootstrap specification tests for diffusion processes

DOI10.1016/j.jeconom.2004.02.013zbMath1337.62193OpenAlexW3125374987MaRDI QIDQ261886

Norman R. Swanson, Valentina Corradi

Publication date: 24 March 2016

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

Full work available at URL: http://www.sas.rutgers.edu/virtual/snde/wp/2003-21.pdf

zbMATH Keywords

stochastic volatilitydiffusion processblock bootstrapmultifactor modelparameter estimation errorspecification test

Mathematics Subject Classification ID

Nonparametric hypothesis testing (62G10) Diffusion processes (60J60) Markov processes: hypothesis testing (62M02)

Related Items (19)

A simple approach to the parametric estimation of potentially nonstationary diffusions ⋮ Specification testing in discretized diffusion models: theory and practice ⋮ Volatility of volatility: estimation and tests based on noisy high frequency data with jumps ⋮ An updated review of goodness-of-fit tests for regression models ⋮ Root-\(n\) consistent estimation of the marginal density in semiparametric autoregressive time series models ⋮ Variation-based tests for volatility misspecification ⋮ Testing the volatility jumps based on the high frequency data ⋮ Asymptotically distribution-free tests for the volatility function of a diffusion ⋮ Nonparametric specification tests for stochastic volatility models based on volatility density ⋮ Stationarity-based specification tests for diffusions when the process is nonstationary ⋮ Predictive density construction and accuracy testing with multiple possibly misspecified diffusion models ⋮ Pseudo-maximum likelihood estimation in two classes of semiparametric diffusion models ⋮ Comparison of Bayesian Model Selection Criteria and Conditional Kolmogorov Test as Applied to Spot Asset Pricing Models ⋮ A martingale approach for testing diffusion models based on infinitesimal operator ⋮ Semi-nonparametric estimation and misspecification testing of diffusion models ⋮ OPTIMAL TESTS FOR NESTED MODEL SELECTION WITH UNDERLYING PARAMETER INSTABILITY ⋮ A minimum Hellinger distance estimator for stochastic differential equations: an application to statistical inference for continuous time interest rate models ⋮ ARE EXCHANGE RATES REALLY RANDOM WALKS? SOME EVIDENCE ROBUST TO PARAMETER INSTABILITY ⋮ Testing normality: a GMM approach

Cites Work

• Unnamed Item
• Unnamed Item
• Unnamed Item
• Unnamed Item
• Unnamed Item
• Unnamed Item
• Testing normality: a GMM approach
• Maximum likelihood and the bootstrap for nonlinear dynamic models
• Evaluation of dynamic stochastic general equilibrium models based on distributional comparison of simulated and historical data
• Discretization and simulation of stochastic differential equations
• A survey of numerical methods for stochastic differential equations
• The use of subseries values for estimating the variance of a general statistic from a stationary sequence
• Subsampling
• On the blockwise bootstrap for empirical processes for stationary sequences
• Validity of blockwise bootstrap for empirical processes with stationary observations
• Theoretical comparisons of block bootstrap methods
• The large sample behaviour of the generalized method of moments estimator in misspecified models
• The jackknife and the bootstrap for general stationary observations
• A consistent test for nonlinear out of sample predictive accuracy.
• The blockwise bootstrap for general empirical processes of stationary sequences
• ARCH models as diffusion approximations
• TESTING FOR DISTRIBUTIONAL CHANGE IN TIME SERIES
• A Theory of the Term Structure of Interest Rates
• Simulated Moments Estimation of Markov Models of Asset Prices
• Simulated Non-Parametric Estimation of Dynamic Models
• The Stationary Bootstrap
• A Conditional Kolmogorov Test
• A Three-step Method for Choosing the Number of Bootstrap Repetitions
• An introduction to econometric applications of empirical process theory for dependent random variables
• A Closed-Form Solution for Options with Stochastic Volatility with Applications to Bond and Currency Options
• Maximum Likelihood Estimation of Discretely Sampled Diffusions: A Closed-form Approximation Approach
• Inference When a Nuisance Parameter Is Not Identified Under the Null Hypothesis
• The bootstrap and Edgeworth expansion

This page was built for publication: Bootstrap specification tests for diffusion processes