Stationarity-based specification tests for diffusions when the process is nonstationary

DOI10.1016/J.JECONOM.2012.01.030zbMATH Open1443.62219OpenAlexW1999334898MaRDI QIDQ528006FDOQ528006

Authors: Yacine Aït-Sahalia, Joon Y. Park 

Publication date: 12 May 2017

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

Full work available at URL: http://www.sciencedirect.com/science/article/pii/S0304407612000401

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Mathematics Subject Classification ID

Asymptotic distribution theory in statistics (62E20) Markov processes: hypothesis testing (62M02) Diffusion processes (60J60)

Cites Work

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• A consistent bootstrap test for conditional density functions with time-series data
• On Occupation Times for Markoff Processes
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Cited In (10)

• Specification tests for univariate diffusions
• A reexamination of stock return predictability
• Volatility of volatility: estimation and tests based on noisy high frequency data with jumps
• Empirical‐process‐based specification tests for diffusion models
• Asymptotics for recurrent diffusions with application to high frequency regression
• Nonparametric specification tests for stochastic volatility models based on volatility density
• Asymptotically distribution-free tests for the volatility function of a diffusion
• Testing diffusion processes for non-stationarity
• Uniform and \(L_p\) convergences for nonparametric continuous time regressions with semiparametric applications
• Nonstationary nonlinearity: a survey on Peter Phillips's contributions with a new perspective

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