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Adaptive Testing In Continuous-Time Diffusion Models

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  • Gao, Jiti
  • King, Maxwell

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  • Gao, Jiti & King, Maxwell, 2004. "Adaptive Testing In Continuous-Time Diffusion Models," Econometric Theory, Cambridge University Press, vol. 20(05), pages 844-882, October.
  • Handle: RePEc:cup:etheor:v:20:y:2004:i:05:p:844-882_20
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    Citations

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    Cited by:

    1. Jiti Gao & Maxwell King, 2011. "A New Test in Parametric Linear Models against Nonparametric Autoregressive Errors," Monash Econometrics and Business Statistics Working Papers 20/11, Monash University, Department of Econometrics and Business Statistics.
    2. Chen, Bin & Hong, Yongmiao, 2011. "Generalized spectral testing for multivariate continuous-time models," Journal of Econometrics, Elsevier, vol. 164(2), pages 268-293, October.
    3. repec:wyi:journl:002117 is not listed on IDEAS
    4. Zhao, Zhibiao, 2011. "Nonparametric model validations for hidden Markov models with applications in financial econometrics," Journal of Econometrics, Elsevier, vol. 162(2), pages 225-239, June.
    5. Patrick Saart & Jiti Gao & Nam Hyun Kim, 2014. "Semiparametric methods in nonlinear time series analysis: a selective review," Journal of Nonparametric Statistics, Taylor & Francis Journals, vol. 26(1), pages 141-169, March.
    6. Chen, Qiang & Zheng, Xu & Pan, Zhiyuan, 2015. "Asymptotically distribution-free tests for the volatility function of a diffusion," Journal of Econometrics, Elsevier, vol. 184(1), pages 124-144.
    7. Gao, Jiti & Lu, Zudi & Tjøstheim, Dag, 2008. "Moment inequalities for spatial processes," Statistics & Probability Letters, Elsevier, vol. 78(6), pages 687-697, April.
    8. Péter Farkas, 2013. "Counting Process Generated by Boundary-crossing Events. Theory and Statistical Applications," CEU Working Papers 2013_4, Department of Economics, Central European University.
    9. Patrick W Saart & Jiti Gao & Nam Hyun Kim, 2014. "Econometric Time Series Specification Testing in a Class of Multiplicative Error Models," Monash Econometrics and Business Statistics Working Papers 1/14, Monash University, Department of Econometrics and Business Statistics.
    10. Gao, Jiti, 2007. "Nonlinear time series: semiparametric and nonparametric methods," MPRA Paper 39563, University Library of Munich, Germany, revised 01 Sep 2007.
    11. repec:wyi:journl:002142 is not listed on IDEAS
    12. Monsalve-Cobis, Abelardo & González-Manteiga, Wenceslao & Febrero-Bande, Manuel, 2011. "Goodness-of-fit test for interest rate models: An approach based on empirical processes," Computational Statistics & Data Analysis, Elsevier, vol. 55(12), pages 3073-3092, December.
    13. Zhao, Zhibiao, 2010. "Density estimation for nonlinear parametric models with conditional heteroscedasticity," Journal of Econometrics, Elsevier, vol. 155(1), pages 71-82, March.
    14. Jansen, Dennis W. & Li, Qi & Wang, Zijun & Yang, Jian, 2008. "Fiscal policy and asset markets: A semiparametric analysis," Journal of Econometrics, Elsevier, vol. 147(1), pages 141-150, November.
    15. Song Xi Chen & Jiti Gao, 2010. "Simultaneous Testing of Mean and Variance Structures in Nonlinear Time Series Models," School of Economics Working Papers 2010-28, University of Adelaide, School of Economics.
    16. Zu, Yang & Boswijk, H. Peter, 2017. "Consistent nonparametric specification tests for stochastic volatility models based on the return distribution," Journal of Empirical Finance, Elsevier, vol. 41(C), pages 53-75.
    17. Pipat Wongsaart & Jiti Gao, 2011. "Nonparametric Kernel Testing in Semiparametric Autoregressive Conditional Duration Model," Monash Econometrics and Business Statistics Working Papers 18/11, Monash University, Department of Econometrics and Business Statistics.
    18. Gao, Jiti & Gijbels, Irene & Van Bellegem, Sebastien, 2008. "Nonparametric simultaneous testing for structural breaks," Journal of Econometrics, Elsevier, vol. 143(1), pages 123-142, March.
    19. Zu, Y., 2015. "Consistent nonparametric specification tests for stochastic volatility models based on the return distribution," Working Papers 15/02, Department of Economics, City University London.
    20. Gao, Jiti & Hong, Yongmiao, 2007. "Central limit theorems for weighted quadratic forms of dependent processes with applications in specification testing," MPRA Paper 11977, University Library of Munich, Germany, revised Dec 2007.
    21. Gao, Jiti & Casas, Isabel, 2008. "Specification testing in discretized diffusion models: Theory and practice," Journal of Econometrics, Elsevier, vol. 147(1), pages 131-140, November.
    22. Manuel Arapis & Jiti Gao, 2006. "Empirical Comparisons in Short-Term Interest Rate Models Using Nonparametric Methods," Journal of Financial Econometrics, Society for Financial Econometrics, vol. 4(2), pages 310-345.
    23. Kim, Seonjin & Zhao, Zhibiao, 2014. "Specification test for Markov models with measurement errors," Journal of Multivariate Analysis, Elsevier, vol. 130(C), pages 118-133.
    24. Gao, Jiti & Kim, Nam Hyun & Saart, Patrick W., 2015. "A misspecification test for multiplicative error models of non-negative time series processes," Journal of Econometrics, Elsevier, vol. 189(2), pages 346-359.
    25. Zu, Yang, 2015. "Nonparametric specification tests for stochastic volatility models based on volatility density," Journal of Econometrics, Elsevier, vol. 187(1), pages 323-344.

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