Semi-nonparametric estimation and misspecification testing of diffusion models

DOI10.1016/J.JECONOM.2011.07.001zbMATH Open1441.62784OpenAlexW3124870063MaRDI QIDQ738035FDOQ738035

Dennis Kristensen

Publication date: 12 August 2016

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

Full work available at URL: https://doi.org/10.1016/j.jeconom.2011.07.001

Recommendations

• A test for model specification of diffusion processes
• Nonparametric Methods in Continuous Time Model Specification
• Variation-based tests for volatility misspecification
• Nonparametric transition-based tests for jump diffusions
• Specification testing in discretized diffusion models: theory and practice

zbMATH Keywords

kernel estimationsemiparametricnonparametricdiffusion processspecification testingtransition density

Mathematics Subject Classification ID

Nonparametric estimation (62G05) Density estimation (62G07) Nonparametric hypothesis testing (62G10) Asymptotic properties of nonparametric inference (62G20) Markov processes: estimation; hidden Markov models (62M05) Applications of statistics to economics (62P20) Diffusion processes (60J60)

Cites Work

• Maximum Likelihood Estimation of Misspecified Models
• A quadratic measure of deviation of two-dimensional density estimates and a test of independence
• Asymptotics for Semiparametric Econometric Models Via Stochastic Equicontinuity
• Comparing nonparametric versus parametric regression fits
• Generalized likelihood ratio statistics and Wilks phenomenon
• On some global measures of the deviations of density function estimates
• Root-N-Consistent Semiparametric Regression
• Arbitrage Theory in Continuous Time
• Testing Goodness-of-Fit Based on a Roughness Measure
• ON THE LACK OF POWER OF OMNIBUS SPECIFICATION TESTS
• Title not available (Why is that?)
• Title not available (Why is that?)
• Nonlinear principal components and long-run implications of multivariate diffusions
• The power and optimal kernel of the Bickel-Rosenblatt test for goodness of fit
• Invariance principles for absolutely regular empirical processes
• Bootstrap specification tests for diffusion processes
• Nonlinearity and temporal dependence
• Stability of Markovian processes III: Foster–Lyapunov criteria for continuous-time processes
• NONPARAMETRIC ESTIMATORS FOR TIME SERIES
• Bootstrapping a consistent nonparametric goodness-of-fit test
• Back to the Future: Generating Moment Implications for Continuous-Time Markov Processes
• Maximum Likelihood Estimation of Discretely Sampled Diffusions: A Closed-form Approximation Approach
• Title not available (Why is that?)
• The functional central limit theorem for strongly mixing processes
• A consistent bootstrap test for conditional density functions with time-series data
• A simple approach to the parametric estimation of potentially nonstationary diffusions
• On estimating the diffusion coefficient from discrete observations
• Nonparametric Pricing of Interest Rate Derivative Securities
• Specification Tests for the Variance of a Diffusion
• Fully Nonparametric Estimation of Scalar Diffusion Models
• A Semiparametric Maximum Likelihood Estimator
• Bootstrap Methods for Markov Processes
• Consistent Nonparametric Entropy-Based Testing
• Local power properties of kernel based goodness of fit tests
• A test for model specification of diffusion processes
• End-of-Sample Instability Tests
• Asymptotic comparison of Cramér-von Mises and nonparametric function estimation techniques for testing goodness-of-fit
• Tests of specification for parametric and semiparametric models
• Testing the parametric specification of the diffusion function in a diffusion process
• Estimation of partial differential equations with applications in finance
• BIAS REDUCTION IN NONPARAMETRIC DIFFUSION COEFFICIENT ESTIMATION
• UNIFORM CONVERGENCE RATES OF KERNEL ESTIMATORS WITH HETEROGENEOUS DEPENDENT DATA
• Nonparametric estimation of scalar diffusions based on low frequency data
• Goodness of fit test for ergodic diffusion processes
• Nonparametric Transition-Based Tests for Jump Diffusions
• Pseudo-maximum likelihood estimation in two classes of semiparametric diffusion models

Cited In (13)

• Specification tests for univariate diffusions
• A Reexamination of Diffusion Estimators With Applications to Financial Model Validation
• Information ratio test for model misspecification on parametric structures in stochastic diffusion models
• Diffusion copulas: identification and estimation
• Variation-based tests for volatility misspecification
• Goodness-of-Fit Test in Multivariate Jump Diffusion Models
• Semiparametric diffusion estimation and application to a stock market index
• Nonparametric identification and estimation of transformation models
• Estimation for diffusion processes under misspecified models
• Nonparametric Methods in Continuous Time Model Specification
• Asymptotically distribution-free tests for the volatility function of a diffusion
• Uniform and \(L_p\) convergences for nonparametric continuous time regressions with semiparametric applications
• An updated review of goodness-of-fit tests for regression models

This page was built for publication: Semi-nonparametric estimation and misspecification testing of diffusion models

Report a bug (only for logged in users!)Click here to report a bug for this page (MaRDI item Q738035)