Consistent Pretesting for Jumps
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- repec:eee:econom:v:202:y:2018:i:1:p:18-44 is not listed on IDEAS
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Keywordsdiffusion model; jump intensity;
- C12 - Mathematical and Quantitative Methods - - Econometric and Statistical Methods and Methodology: General - - - Hypothesis Testing: General
- C22 - Mathematical and Quantitative Methods - - Single Equation Models; Single Variables - - - Time-Series Models; Dynamic Quantile Regressions; Dynamic Treatment Effect Models; Diffusion Processes
- C52 - Mathematical and Quantitative Methods - - Econometric Modeling - - - Model Evaluation, Validation, and Selection
NEP fieldsThis paper has been announced in the following NEP Reports:
- NEP-ALL-2014-07-27 (All new papers)
- NEP-ALL-2014-07-28 (All new papers)
- NEP-ECM-2014-07-28 (Econometrics)
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