ADAPTIVE TESTING IN CONTINUOUS-TIME DIFFUSION MODELS

DOI10.1017/S0266466604205023zbMath1071.62068OpenAlexW2031724079MaRDI QIDQ5696351

Maxwell L. King, J. T. Gao

Publication date: 18 October 2005

Published in: Econometric Theory (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1017/s0266466604205023

Mathematics Subject Classification ID

Asymptotic distribution theory in statistics (62E20) Asymptotic properties of parametric tests (62F05) Markov processes: hypothesis testing (62M02)

Related Items (30)

Nonparametric simultaneous testing for structural breaks ⋮ SPECIFICATION TESTING IN NONLINEAR TIME SERIES WITH LONG-RANGE DEPENDENCE ⋮ Specification testing in discretized diffusion models: theory and practice ⋮ Fiscal policy and asset markets: a semiparametric analysis ⋮ Density estimation for nonlinear parametric models with conditional heteroscedasticity ⋮ A selective overview of nonparametric methods in financial econometrics ⋮ An updated review of goodness-of-fit tests for regression models ⋮ Specification tests for univariate diffusions ⋮ A misspecification test for multiplicative error models of non-negative time series processes ⋮ Root-\(n\) consistent estimation of the marginal density in semiparametric autoregressive time series models ⋮ Using the dependent wild bootstrap for the nonparametric goodness-of-fit test for density functions ⋮ Nonparametric goodness-of-fit testing for a continuous multivariate parametric model ⋮ Goodness-of-fit test for interest rate models: an approach based on empirical processes ⋮ Empirical‐process‐based specification tests for diffusion models ⋮ Asymptotically distribution-free tests for the volatility function of a diffusion ⋮ Nonparametric specification tests for stochastic volatility models based on volatility density ⋮ Specification test for Markov models with measurement errors ⋮ ASYMPTOTIC DISTRIBUTION-FREE DIAGNOSTIC TESTS FOR HETEROSKEDASTIC TIME SERIES MODELS ⋮ Semiparametric methods in nonlinear time series analysis: a selective review ⋮ Moment inequalities for spatial processes ⋮ CHARACTERISTIC FUNCTION–BASED TESTING FOR MULTIFACTOR CONTINUOUS-TIME MARKOV MODELS VIA NONPARAMETRIC REGRESSION ⋮ Parametric and nonparametric models and methods in financial econometrics ⋮ SIMULTANEOUS SPECIFICATION TESTING OF MEAN AND VARIANCE STRUCTURES IN NONLINEAR TIME SERIES REGRESSION ⋮ Nonparametric model validations for hidden Markov models with applications in financial econometrics ⋮ Generalized spectral testing for multivariate continuous-time models ⋮ A consistent nonparametric test for nonlinear causality -- specification in time series regression ⋮ The central limit theorem for degenerate variableU-statistics under dependence ⋮ NONPARAMETRIC SPECIFICATION TESTING FOR NONLINEAR TIME SERIES WITH NONSTATIONARITY ⋮ Specification testing in nonlinear and nonstationary time series autoregression ⋮ Nonparametric Methods in Continuous Time Model Specification

Cites Work

• The Pricing of Options and Corporate Liabilities
• Nonparametric estimation in null recurrent time series.
• Model specification tests in nonparametric stochastic regression models
• An Intertemporal General Equilibrium Model of Asset Prices
• Moment inequalities for mixing sequences of random variables
• Central limit theorem for degenerateU-Statistics of Absolutely Regular Processes with Applications to Model Specification Testing
• A Reexamination of Diffusion Estimators With Applications to Financial Model Validation
• An Adaptive, Rate-Optimal Test of a Parametric Mean-Regression Model Against a Nonparametric Alternative
• Nonparametric Pricing of Interest Rate Derivative Securities

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