Semi-nonparametric estimation and misspecification testing of diffusion models

DOI10.1016/j.jeconom.2011.07.001zbMath1441.62784OpenAlexW3124870063MaRDI QIDQ738035

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

zbMATH Keywords

kernel estimationdiffusion processtransition densitynonparametricsemiparametricspecification testing

Mathematics Subject Classification ID

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

Related Items (8)

An updated review of goodness-of-fit tests for regression models ⋮ Diffusion copulas: identification and estimation ⋮ Information ratio test for model misspecification on parametric structures in stochastic diffusion models ⋮ Specification tests for univariate diffusions ⋮ Uniform and \(L_p\) convergences for nonparametric continuous time regressions with semiparametric applications ⋮ Variation-based tests for volatility misspecification ⋮ Asymptotically distribution-free tests for the volatility function of a diffusion ⋮ Nonparametric identification and estimation of transformation models

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