Bootstrap specification tests for diffusion processes.
This paper discusses specification tests for diffusion processes. In the one-dimensional case, our proposed test is closest to the nonparametric test of Ait-Sahalia (Rev. Financ. Stud. 9 (1996) 385). However, we compare CDFs instead of densities. In the multidimensional and/or multifactor case, our...
| Publicado en: | Journal of Econometrics Vol. 124; no. 1; pp. 117 - 149 |
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| Autores principales: | , |
| Formato: | Artículo |
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Elsevier Science
January 2005
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| Materias: | |
| Acceso en línea: | Ver este registro en EBSCOhost |
| fields | @attributes: recordID: 1 pdfLink: plink: https://search.ebscohost.com/login.aspx?direct=true&db=ssf&AN=513184217&site=ehost-live header: @attributes: shortDbName: ssf uiTerm: 513184217 longDbName: Social Sciences Full Text (H.W. Wilson) uiTag: AN controlInfo: bkinfo: jinfo: jid: 03044076 ECM jtl: Journal of Econometrics issn: 03044076 maglogo: N pubinfo: dt: January 2005 vid: 124 iid: 1 pid: 1004 pub: Elsevier Science artinfo: ui: 513184217 10.1016/j.jeconom.2004.02.013 ppf: 117 ppct: 32 formats: tig: atl: Bootstrap specification tests for diffusion processes. aug: au: Corradi, Valentina Swanson, Norman R. su: Statistical bootstrapping Diffusion processes sug: subj: Statistical bootstrapping Diffusion processes ab: This paper discusses specification tests for diffusion processes. In the one-dimensional case, our proposed test is closest to the nonparametric test of Ait-Sahalia (Rev. Financ. Stud. 9 (1996) 385). However, we compare CDFs instead of densities. In the multidimensional and/or multifactor case, our proposed test is based on comparison of the empirical CDF of actual data and the empirical CDF of simulated data. Asymptotically valid critical values are obtained using an empirical process version of the block bootstrap which accounts for parameter estimation error. An example based on a simple version of the Cox et al. (Econometrica 53 (1985) 385) model is outlined and related Monte Carlo experiments are carried out. Copyright (c) 2003 Elsevier B.V. pubtype: Academic Journal doctype: Article src: R language: English refInfo: copyright: @attributes: flag: N holdings: @attributes: islocal: N |
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