Chen, Song Xi and Gao, Jiti and Tang, Chenghong (2005): A test for model specification of diffusion processes. Published in: Annals of Statistics , Vol. 36, No. 1 (February 2008): pp. 162198.

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Abstract
We propose a test for model specification of a parametric diffusion process based on a kernel estimation of the transitional density of the process. The empirical likelihood is used to formulate a statistic, for each kernel smoothing bandwidth, which is effectively a Studentized L2distance between the kernel transitional density estimator and the parametric transitional density implied by the parametric process. To reduce the sensitivity of the test on smoothing bandwidth choice, the final test statistic is constructed by combining the empirical likelihood statistics over a set of smoothing bandwidths. To better capture the finite sample distribution of the test statistic and data dependence, the critical value of the test is obtained by a parametric bootstrap procedure. Properties of the test are evaluated asymptotically and numerically by simulation and by a real data example.
Item Type:  MPRA Paper 

Original Title:  A test for model specification of diffusion processes 
Language:  English 
Keywords:  Bootstrap; diffusion process; empirical likelihood; goodnessoffit test; time series; transitional density 
Subjects:  C  Mathematical and Quantitative Methods > C1  Econometric and Statistical Methods and Methodology: General > C14  Semiparametric and Nonparametric Methods: General 
Item ID:  11976 
Depositing User:  jiti Gao 
Date Deposited:  09 Dec 2008 00:25 
Last Modified:  29 Sep 2019 19:29 
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URI:  https://mpra.ub.unimuenchen.de/id/eprint/11976 