Specification testing in discretized diffusion models: Theory and practice
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- Gao, Jiti & Casas, Isabel, 2006. "Specification testing in discretized diffusion models: Theory and practice," MPRA Paper 11980, University Library of Munich, Germany, revised Aug 2007.
References listed on IDEAS
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Cited by:
- 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.
- repec:eee:csdana:v:56:y:2012:i:12:p:3975-3987 is not listed on IDEAS
- 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.
- repec:spr:compst:v:32:y:2017:i:4:d:10.1007_s00180-016-0685-z is not listed on IDEAS
- Wenceslao González-Manteiga & Rosa Crujeiras, 2013. "An updated review of Goodness-of-Fit tests for regression models," TEST: An Official Journal of the Spanish Society of Statistics and Operations Research, Springer;Sociedad de Estadística e Investigación Operativa, vol. 22(3), pages 361-411, September.
More about this item
Keywords
Continuous-time diffusion process Kernel method Nonparametric testing Power function Size function Time series econometrics;JEL classification:
- C52 - Mathematical and Quantitative Methods - - Econometric Modeling - - - Model Evaluation, Validation, and Selection
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