Semi-nonparametric estimation and misspecification testing of diffusion models

DOI10.1016/j.jeconom.2011.07.001zbMath1441.62784MaRDI 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 estimation; diffusion process; transition density; nonparametric; semiparametric; specification testing

Mathematics Subject Classification ID

62P20: Applications of statistics to economics

62G07: Density estimation

62G10: Nonparametric hypothesis testing

62G20: Asymptotic properties of nonparametric inference

62G05: Nonparametric estimation

62M05: Markov processes: estimation; hidden Markov models

60J60: Diffusion processes

Related Items

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

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