Specification testing in discretized diffusion models: Theory and practice
暂无分享,去创建一个
[1] Jiti Gao,et al. Nonlinear Time Series: Semiparametric and Nonparametric Methods , 2019 .
[2] Jiti Gao,et al. An adaptive empirical likelihood test for parametric time series regression models , 2007 .
[3] S. Chen,et al. A Test for model specification of diffusion processes , 2007, math/0702123.
[4] Fuchun Li. TESTING THE PARAMETRIC SPECIFICATION OF THE DIFFUSION FUNCTION IN A DIFFUSION PROCESS , 2007, Econometric Theory.
[5] Jiti Gao,et al. Empirical comparisons in short-term interest rate models using nonparametric methods , 2006 .
[6] Hengyan Li,et al. Nonparametric Specification Testing for Continuous-Time Models with Applications to Term Structure of Interest Rates , 2005 .
[7] M. King,et al. ADAPTIVE TESTING IN CONTINUOUS-TIME DIFFUSION MODELS , 2004, Econometric Theory.
[8] João Nicolau. BIAS REDUCTION IN NONPARAMETRIC DIFFUSION COEFFICIENT ESTIMATION , 2003, Econometric Theory.
[9] Norman R. Swanson,et al. Bootstrap Specification Tests for Diffusion Processes , 2003 .
[10] Jianqing Fan,et al. A Reexamination of Diffusion Estimators With Applications to Financial Model Validation , 2003 .
[11] Yongmiao Hong,et al. Nonparametric Specification Testing for Continuous-Time Models with Application to Spot Interest Rates , 2002 .
[12] Peter C. B. Phillips,et al. Fully Nonparametric Estimation of Scalar Diffusion Models , 2001 .
[13] Joel L. Horowitz,et al. An Adaptive, Rate-Optimal Test of a Parametric Mean-Regression Model Against a Nonparametric Alternative , 2001 .
[14] Qi Li,et al. CONSISTENT MODEL SPECIFICATION TESTS , 2000, Econometric Theory.
[15] Qi Li,et al. Consistent model specification tests for time series econometric models , 1999 .
[16] Yacine Aït-Sahalia. Transition Densities for Interest Rate and Other Nonlinear Diffusions , 1999 .
[17] Valentina Corradi,et al. Specification Tests for the Variance of a Diffusion , 1999 .
[18] Suojin Wang,et al. A simple consistent bootstrap test for a parametric regression function , 1998 .
[19] J. Zheng,et al. A consistent test of functional form via nonparametric estimation techniques , 1996 .
[20] Yanqin Fan,et al. Consistent model specification tests : Omitted variables and semiparametric functional forms , 1996 .
[21] Yacine Aït-Sahalia. Testing Continuous-Time Models of the Spot Interest Rate , 1996 .
[22] Yacine Ait-Sahalia. Testing Continuous-Time Models of the Spot Interest Rate , 1995 .
[23] Yacine Aït-Sahalia. Nonparametric Pricing of Interest Rate Derivative Securities , 1995 .
[24] Qi Li,et al. Consistent Model Specification Tests : Kernel-Based Tests versus Bierens ' ICM Tests , 2008 .
[25] Oliver Linton,et al. Some higher-order theory for a consistent non-parametric model specification test , 2003 .
[26] P. Hall. The Bootstrap and Edgeworth Expansion , 1992 .
[27] Ing Rj Ser. Approximation Theorems of Mathematical Statistics , 1980 .