Bitte verwenden Sie diesen Link, um diese Publikation zu zitieren, oder auf sie als Internetquelle zu verweisen: https://hdl.handle.net/10419/23177 
Kompletter Metadatensatz
DublinCore-FeldWertSprache
dc.contributor.authorCorradi, Valentinaen
dc.contributor.authorSwanson, Norman R.en
dc.date.accessioned2009-01-29T15:49:14Z-
dc.date.available2009-01-29T15:49:14Z-
dc.date.issued2003-
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
dc.language.isoengen
dc.publisher|aRutgers University, Department of Economics |cNew Brunswick, NJen
dc.relation.ispartofseries|aWorking Paper |x2003-21en
dc.subject.jelC22en
dc.subject.jelC12en
dc.subject.ddc330en
dc.subject.keywordblock bootstrapen
dc.subject.keyworddiffusion processesen
dc.subject.keywordmultifactor modelen
dc.subject.keywordparameter estimation erroren
dc.subject.keywordspecification testen
dc.subject.keywordstochastic volatilityen
dc.subject.stwBootstrap-Verfahrenen
dc.subject.stwStatistische Verteilungen
dc.subject.stwNichtparametrisches Verfahrenen
dc.subject.stwTheorieen
dc.titleBootstrap Specification Tests for Diffusion Processes-
dc.typeWorking Paperen
dc.identifier.ppn375476679en
dc.rightshttp://www.econstor.eu/dspace/Nutzungsbedingungenen
dc.identifier.repecRePEc:rut:rutres:200321en

Datei(en):
Datei
Größe
1.5 MB





Publikationen in EconStor sind urheberrechtlich geschützt.