Specification tests for univariate diffusions

DOI10.1080/07474938.2021.1995683MaRDI QIDQ5095206zbMATH OpenOpenAlexFDO

Authors Stan Hurn, Vance Martin, Lina Xu

Publication date 5 August 2022

Published in Econometric Reviews (Search for Journal in Brave)

Full work available at URL https://doi.org/10.1080/07474938.2021.1995683

zbMATH Keywords

dependenceNeyman smooth testsize distortionstochastic differential equations

Mathematics Subject Classification ID

Applications of statistics to economics (62P20)

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Cites work

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• Consistency and Monte Carlo simulation of a data driven version of smooth goodness-of-fit tests
• Data-Driven Version of Neyman's Smooth Test of Fit
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• Goodness of Fit via Non-parametric Likelihood Ratios
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• Semi-nonparametric estimation and misspecification testing of diffusion models
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• Specification testing in discretized diffusion models: theory and practice

Cited in

(1)

• Identifying changes in the distribution of income from higher-order moments with an application to Australia

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