Specification testing in discretized diffusion models: Theory and practice

Journal of Econometrics

Volumn 147, Issue 1, 2008, Pages 131-140

  Gao, Jiti ^a   Casas, Isabel ^b  

^a UNIVERSITY OF ADELAIDE   (Australia)

^b UNIVERSIDAD CARLOS III DE MADRID   (Spain)

Author keywords

Continuous time diffusion process; Kernel method; Nonparametric testing; Power function; Size function; Time series econometrics

Indexed keywords

CONTINUOUS TIME SYSTEMS; DIFFUSION; SEMICONDUCTOR DOPING; SPECIFICATIONS; TESTING; TIME SERIES ANALYSIS;

CONTINUOUS-TIME DIFFUSION PROCESS; KERNEL METHOD; NONPARAMETRIC TESTING; POWER FUNCTION; SIZE FUNCTION; TIME SERIES ECONOMETRICS;

PROBABILITY DENSITY FUNCTION;

EID: 55349089886     PISSN: 03044076     EISSN: None     Source Type: Journal    
DOI: 10.1016/j.jeconom.2008.09.006     Document Type: Article

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