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Goodness-of-fit tests for kernel regression with an application to option implied volatilities

Listed author(s):
  • Ait-Sahalia, Yacine
  • Bickel, Peter J.
  • Stoker, Thomas M.

No abstract is available for this item.

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File URL: http://www.sciencedirect.com/science/article/pii/S0304-4076(01)00091-4
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Article provided by Elsevier in its journal Journal of Econometrics.

Volume (Year): 105 (2001)
Issue (Month): 2 (December)
Pages: 363-412

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Handle: RePEc:eee:econom:v:105:y:2001:i:2:p:363-412
Contact details of provider: Web page: http://www.elsevier.com/locate/jeconom

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  1. P. M. Robinson, 1989. "Hypothesis Testing in Semiparametric and Nonparametric Models for Econometric Time Series," Review of Economic Studies, Oxford University Press, vol. 56(4), pages 511-534.
  2. Yacine Aït-Sahalia & Andrew W. Lo, 1998. "Nonparametric Estimation of State-Price Densities Implicit in Financial Asset Prices," Journal of Finance, American Finance Association, vol. 53(2), pages 499-547, 04.
  3. Robinson, Peter M, 1988. "Root- N-Consistent Semiparametric Regression," Econometrica, Econometric Society, vol. 56(4), pages 931-954, July.
  4. Wooldridge, Jeffrey M., 1992. "A Test for Functional Form Against Nonparametric Alternatives," Econometric Theory, Cambridge University Press, vol. 8(04), pages 452-475, December.
  5. Ait-Sahalia, Yacine & Lo, Andrew W., 2000. "Nonparametric risk management and implied risk aversion," Journal of Econometrics, Elsevier, vol. 94(1-2), pages 9-51.
  6. Lavergne, Pascal & Vuong, Quang H, 1996. "Nonparametric Selection of Regressors: The Nonnested Case," Econometrica, Econometric Society, vol. 64(1), pages 207-219, January.
  7. Bickel, Peter J. & Ritov, Ya'Acov. & Stoker, Peter J., 1998. "Testing and the method of sieves," Working papers WP 4028-98., Massachusetts Institute of Technology (MIT), Sloan School of Management.
  8. Li, Qi, 1999. "Consistent model specification tests for time series econometric models," Journal of Econometrics, Elsevier, vol. 92(1), pages 101-147, September.
  9. Herman J. Bierens & Werner Ploberger, 1997. "Asymptotic Theory of Integrated Conditional Moment Tests," Econometrica, Econometric Society, vol. 65(5), pages 1129-1152, September.
  10. Fan, Yanqin, 1994. "Testing the Goodness of Fit of a Parametric Density Function by Kernel Method," Econometric Theory, Cambridge University Press, vol. 10(02), pages 316-356, June.
  11. Chen, Xiaohong & Fan, Yanqin, 1999. "Consistent hypothesis testing in semiparametric and nonparametric models for econometric time series," Journal of Econometrics, Elsevier, vol. 91(2), pages 373-401, August.
  12. Whang, Yoon-Jae & Andrews, Donald W. K., 1993. "Tests of specification for parametric and semiparametric models," Journal of Econometrics, Elsevier, vol. 57(1-3), pages 277-318.
  13. Lavergne, Pascal & Vuong, Quang, 2000. "Nonparametric Significance Testing," Econometric Theory, Cambridge University Press, vol. 16(04), pages 576-601, August.
  14. Black, Fischer & Scholes, Myron S, 1973. "The Pricing of Options and Corporate Liabilities," Journal of Political Economy, University of Chicago Press, vol. 81(3), pages 637-654, May-June.
  15. Ellison, Glenn & Ellison, Sara Fisher, 2000. "A simple framework for nonparametric specification testing," Journal of Econometrics, Elsevier, vol. 96(1), pages 1-23, May.
  16. de Jong, R.M. & Bierens, H.J., 1994. "On the Limit Behavior of a Chi-Square Type Test if the Number of Conditional Moments Tested Approaches Infinity," Econometric Theory, Cambridge University Press, vol. 10(01), pages 70-90, March.
  17. Fan, Yanqin & Li, Qi, 1996. "Consistent Model Specification Tests: Omitted Variables and Semiparametric Functional Forms," Econometrica, Econometric Society, vol. 64(4), pages 865-890, July.
  18. James Heckman & Hidehiko Ichimura & Jeffrey Smith & Petra Todd, 1998. "Characterizing Selection Bias Using Experimental Data," Econometrica, Econometric Society, vol. 66(5), pages 1017-1098, September.
  19. Ait-Sahalia, Yacine, 1996. "Nonparametric Pricing of Interest Rate Derivative Securities," Econometrica, Econometric Society, vol. 64(3), pages 527-560, May.
  20. Bierens, Herman J, 1990. "A Consistent Conditional Moment Test of Functional Form," Econometrica, Econometric Society, vol. 58(6), pages 1443-1458, November.
  21. Gozalo, Pedro L., 1993. "A Consistent Model Specification Test for Nonparametric Estimation of Regression Function Models," Econometric Theory, Cambridge University Press, vol. 9(03), pages 451-477, June.
  22. Hong, Yongmiao & White, Halbert, 1995. "Consistent Specification Testing via Nonparametric Series Regression," Econometrica, Econometric Society, vol. 63(5), pages 1133-1159, September.
  23. Horowitz, Joel L. & Härdle, Wolfgang, 1994. "Testing a Parametric Model Against a Semiparametric Alternative," Econometric Theory, Cambridge University Press, vol. 10(05), pages 821-848, December.
  24. Vieu, Philippe, 1994. "Choice of regressors in nonparametric estimation," Computational Statistics & Data Analysis, Elsevier, vol. 17(5), pages 575-594, June.
  25. Richard Blundell & Alan Duncan, 1998. "Kernel Regression in Empirical Microeconomics," Journal of Human Resources, University of Wisconsin Press, vol. 33(1), pages 62-87.
  26. Yatchew, Adonis John, 1992. "Nonparametric Regression Tests Based on Least Squares," Econometric Theory, Cambridge University Press, vol. 8(04), pages 435-451, December.
  27. Hall, Peter, 1984. "Central limit theorem for integrated square error of multivariate nonparametric density estimators," Journal of Multivariate Analysis, Elsevier, vol. 14(1), pages 1-16, February.
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