Semi-nonparametric estimation and misspecification testing of diffusion models

Journal of Econometrics

Volumn 164, Issue 2, 2011, Pages 382-403

  Kristensen, Dennis ^a,b  

^a Columbia University ^*  (United States)

^b CREATES ^*  (United States)

Author keywords

Diffusion process; Kernel estimation; Nonparametric; Semiparametric; Specification testing; Transition density

Indexed keywords

DIFFUSION PROCESS; KERNEL ESTIMATION; NON-PARAMETRIC; SEMIPARAMETRIC; SPECIFICATION TESTING; TRANSITION DENSITY;

DIFFUSION; ESTIMATION;

MAXIMUM LIKELIHOOD ESTIMATION;

EID: 84860416588     PISSN: 03044076     EISSN: None     Source Type: Journal    
DOI: 10.1016/j.jeconom.2011.07.001     Document Type: Article

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