A nonnested approach to testing continuous time models against discrete alternatives

DOI10.1016/0304-4076(93)90069-HzbMath0778.62078OpenAlexW1993597940MaRDI QIDQ1801422

Marcus J. Chambers

Publication date: 9 January 1994

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

Full work available at URL: https://doi.org/10.1016/0304-4076(93)90069-h

zbMATH Keywords

nonlinear equationsexamplecontinuous time modelssystem of stochastic differential equationsdiscrete alternativesCox test statisticVARMAXvector autoregressive moving averaging model

Mathematics Subject Classification ID

Applications of statistics to economics (62P20) Time series, auto-correlation, regression, etc. in statistics (GARCH) (62M10) Non-Markovian processes: hypothesis testing (62M07)

Related Items (1)

Alternative Procedures to Discriminate Non Nested Multivariate Linear Regression Models

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• Further Results on Testing AR (1) Against MA (1) Disturbances in the Linear Regression Model
• Testing Non-Nested Nonlinear Regression Models
• Error Correction and Long-Run Equilibrium in Continuous Time
• Some tests of separate families of hypotheses in time series analysis

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