A nonnested approach to testing continuous time models against discrete alternatives (Q1801422)
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scientific article; zbMATH DE number 202518
| Language | Label | Description | Also known as |
|---|---|---|---|
| English | A nonnested approach to testing continuous time models against discrete alternatives |
scientific article; zbMATH DE number 202518 |
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A nonnested approach to testing continuous time models against discrete alternatives (English)
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9 January 1994
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The author considers a test of two competing models where one is formulated in continuous time as a system of stochastic differential equations and the other is formulated in discrete time as a system of nonlinear equations. The Cox test statistic is derived [\textit{D. R. Cox}, Proc. 4th Berkeley Sympos. Math. Statist. Probab. 1, 105-123 (1961)] and an illustrative example is presented.
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continuous time models
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discrete alternatives
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system of stochastic differential equations
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vector autoregressive moving averaging model
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VARMAX
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nonlinear equations
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Cox test statistic
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example
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0.88305146
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0.8829818
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0.8715344
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0.86948436
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0.8675651
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