Specification testing in discretized diffusion models: theory and practice
DOI10.1016/J.JECONOM.2008.09.006zbMATH Open1429.62468OpenAlexW1964702858MaRDI QIDQ299265FDOQ299265
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
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power functionnonparametric testingkernel methodcontinuous-time diffusion processsize functiontime series econometrics
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Cites Work
- Consistent model specification tests for time series econometric models
- A simple consistent bootstrap test for a parametric regression function
- An Adaptive, Rate-Optimal Test of a Parametric Mean-Regression Model Against a Nonparametric Alternative
- Consistent Model Specification Tests: Omitted Variables and Semiparametric Functional Forms
- The bootstrap and Edgeworth expansion
- A consistent test of functional form via nonparametric estimation techniques
- On the Strong Law of Large Numbers and Related Results for Quasi-Stationary Sequences
- Some higher-order theory for a consistent non-parametric model specification test
- Bootstrap specification tests for diffusion processes
- Nonparametric Pricing of Interest Rate Derivative Securities
- Specification Tests for the Variance of a Diffusion
- Fully Nonparametric Estimation of Scalar Diffusion Models
- Consistent model specification tests. (Kernel-based tests versus Bierens' ICM tests)
- A test for model specification of diffusion processes
- An adaptive empirical likelihood test for parametric time series regression models
- A Reexamination of Diffusion Estimators With Applications to Financial Model Validation
- ADAPTIVE TESTING IN CONTINUOUS-TIME DIFFUSION MODELS
- Testing the parametric specification of the diffusion function in a diffusion process
- Nonlinear Time Series
- BIAS REDUCTION IN NONPARAMETRIC DIFFUSION COEFFICIENT ESTIMATION
Cited In (16)
- Specification tests for univariate diffusions
- Goodness-of-fit test for interest rate models: an approach based on empirical processes
- Information ratio test for model misspecification on parametric structures in stochastic diffusion models
- Test for dispersion constancy in stochastic differential equation models
- ADAPTIVE TESTING IN CONTINUOUS-TIME DIFFUSION MODELS
- Empirical‐process‐based specification tests for diffusion models
- GENERAL SPECIFICATION TESTING WITH LOCALLY MISSPECIFIED MODELS
- Testing for the presence of jump components in jump diffusion models
- Nonparametric specification test for volatility function in diffusion model and its applications under microstructure noise
- Nonparametric Methods in Continuous Time Model Specification
- Asymptotically distribution-free tests for the volatility function of a diffusion
- Nonparametric tests of the Markov hypothesis in continuous-time models
- Multidimensional specification test based on non-stationary time series
- A test for a parametric form of the volatility in second-order diffusion models
- An updated review of goodness-of-fit tests for regression models
- A specification test of stochastic diffusion models
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