EconStor >
Rutgers University >
Department of Economics, Rutgers University >
Working Papers, Department of Economics, Rutgers University >

Please use this identifier to cite or link to this item:

http://hdl.handle.net/10419/23177
  

Full metadata record

DC FieldValueLanguage
dc.contributor.authorCorradi, Valentinaen_US
dc.contributor.authorSwanson, Norman R.en_US
dc.date.accessioned2009-01-29T15:49:14Z-
dc.date.available2009-01-29T15:49:14Z-
dc.date.issued2003en_US
dc.identifier.urihttp://hdl.handle.net/10419/23177-
dc.description.abstractThis paper introduces bootstrap specification tests for diffusion processes. In the one-dimensional case, the proposed test is closest to the non parametric test introduced by Ait-Sahalia (1996), in the sense that both procedures determine whether the drift and variance components of a particular continuous time model are correctly specified. However we compare cumulative distribution functions, while Ait-Sahalia compares probability densities. In the multidimensional and/or multifactor case, the proposed test is based on the comparison of empirical CDF of the actual data and the empirical CDF of the simulated data. The limiting distributions of both tests are functionals of zero mean Gaussian processes with covariance kernels that reflect data dependence and parameter estimation error (PEE). In order to obtain asymptotically valid critical values for the test, we use an empirical process version of the block bootstrap which properly accounts for the contribution of PEE. An example based on a simple version of Cox, Ingersol and Ross (1985) square root process is outlined and related Monte Carlo experiments are carried out. These experiments suggest that the test has good finite sample properties, even for samples as small as 400 observations when tests are formed using critical values constructed with as few as 100 bootstrap replicationsen_US
dc.language.isoengen_US
dc.publisheren_US
dc.relation.ispartofseriesWorking papers / Rutgers University, Department of Economics 2003,21en_US
dc.subject.jelC22en_US
dc.subject.jelC12en_US
dc.subject.ddc330en_US
dc.subject.keywordblock bootstrapen_US
dc.subject.keyworddiffusion processesen_US
dc.subject.keywordmultifactor modelen_US
dc.subject.keywordparameter estimation erroren_US
dc.subject.keywordspecification testen_US
dc.subject.keywordstochastic volatilityen_US
dc.subject.stwBootstrap-Verfahrenen_US
dc.subject.stwStatistische Verteilungen_US
dc.subject.stwNichtparametrisches Verfahrenen_US
dc.subject.stwTheorieen_US
dc.titleBootstrap Specification Tests for Diffusion Processesen_US
dc.typeWorking Paperen_US
dc.identifier.ppn375476679en_US
dc.rightshttp://www.econstor.eu/dspace/Nutzungsbedingungen-
Appears in Collections:Working Papers, Department of Economics, Rutgers University

Files in This Item:
File Description SizeFormat
2003-21.pdf1.5 MBAdobe PDF
No. of Downloads: Counter Stats
Show simple item record
Download bibliographical data as: BibTeX

Items in EconStor are protected by copyright, with all rights reserved, unless otherwise indicated.