Semi-nonparametric estimation and misspecification testing of diffusion models
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Publication:738035
DOI10.1016/j.jeconom.2011.07.001zbMath1441.62784OpenAlexW3124870063MaRDI QIDQ738035
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
kernel estimationdiffusion processtransition densitynonparametricsemiparametricspecification testing
Applications of statistics to economics (62P20) Density estimation (62G07) Nonparametric hypothesis testing (62G10) Asymptotic properties of nonparametric inference (62G20) Nonparametric estimation (62G05) Markov processes: estimation; hidden Markov models (62M05) Diffusion processes (60J60)
Related Items (8)
An updated review of goodness-of-fit tests for regression models ⋮ Diffusion copulas: identification and estimation ⋮ Information ratio test for model misspecification on parametric structures in stochastic diffusion models ⋮ Specification tests for univariate diffusions ⋮ Uniform and \(L_p\) convergences for nonparametric continuous time regressions with semiparametric applications ⋮ Variation-based tests for volatility misspecification ⋮ Asymptotically distribution-free tests for the volatility function of a diffusion ⋮ Nonparametric identification and estimation of transformation models
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