Semi-Nonparametric Estimation and Misspecification Testing of Diffusion Models
Publikation: Working paper › Forskning
Standard
Semi-Nonparametric Estimation and Misspecification Testing of Diffusion Models. / Kristensen, Dennis.
Department of Economics, University of Copenhagen, 2010.Publikation: Working paper › Forskning
Harvard
APA
Vancouver
Author
Bibtex
}
RIS
TY - UNPB
T1 - Semi-Nonparametric Estimation and Misspecification Testing of Diffusion Models
AU - Kristensen, Dennis
N1 - JEL-classification: C12, C13, C14, C22
PY - 2010
Y1 - 2010
N2 - We propose novel misspecification tests of semiparametric and fully parametric univariate diffusion models based on the estimators developed in Kristensen (Journal of Econometrics, 2010). We first demonstrate that given a preliminary estimator of either the drift or thediffusion term in a diffusion model, nonparametric kernel estimators of the remaining term can be obtained. We then propose misspecification tests of semparametric and fully parametric diffusion models that compare estimators of the transition density under the relevant null and alternative. The asymptotic distribution of the estimators and tests under the null are derived, and the power properties are analyzed by considering contiguous alternatives. Test directly comparing the drift and diffusion estimators under the relevant null and alternative are also analyzed. Markov Bootstrap versions of the test statistics are proposed to improve on the finite-sample approximations. The finite sample properties of the estimators are examined in a simulation study.
AB - We propose novel misspecification tests of semiparametric and fully parametric univariate diffusion models based on the estimators developed in Kristensen (Journal of Econometrics, 2010). We first demonstrate that given a preliminary estimator of either the drift or thediffusion term in a diffusion model, nonparametric kernel estimators of the remaining term can be obtained. We then propose misspecification tests of semparametric and fully parametric diffusion models that compare estimators of the transition density under the relevant null and alternative. The asymptotic distribution of the estimators and tests under the null are derived, and the power properties are analyzed by considering contiguous alternatives. Test directly comparing the drift and diffusion estimators under the relevant null and alternative are also analyzed. Markov Bootstrap versions of the test statistics are proposed to improve on the finite-sample approximations. The finite sample properties of the estimators are examined in a simulation study.
KW - Faculty of Social Sciences
KW - diffusion process
KW - kernel estimation
KW - nonparametric
KW - specification testing
KW - semiparametric
KW - transition density
M3 - Working paper
BT - Semi-Nonparametric Estimation and Misspecification Testing of Diffusion Models
PB - Department of Economics, University of Copenhagen
ER -
ID: 18586012