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dc.contributor.authorChen, S.en
dc.contributor.authorGao, J.en
dc.contributor.authorCheng, Y.en
dc.identifier.citationAnnals of Statistics, 2008; 36(1):167-198en
dc.description.abstractWe 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 L2-distance 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.en
dc.description.statementofresponsibilitySong Xi Chen, Jiti Gao and Cheng Yong Tangen
dc.publisherInst Mathematical Statisticsen
dc.subjectBootstrap; diffusion process; empirical likelihood; goodness-of-fit test; time series; transitional densityen
dc.titleA test for model specification of diffusion processesen
dc.typeJournal articleen
pubs.library.collectionEconomics publicationsen
Appears in Collections:Economics publications

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