Bootstrap Specification Tests for Diffusion Processes

By Valentina Corradi, Norman R. Swanson. 2003

48 citations recorded by the source corpus.

Subfields: Economics and Econometrics, Statistics and Probability

View Paper: https://www.semanticscholar.org/paper/ddbd79f7937c5b3db1a4db1b17204ca8edc9c322

Citations in the corpus

• ARE EXCHANGE RATES REALLY RANDOM WALKS? SOME EVIDENCE ROBUST TO PARAMETER INSTABILITY (2005, unknown): “Out-of-sample tests are likely to be useful in situations where the researcher is interested in comparing forecasting ability and dynamic mis-specification may be allowed under both the null and the alternative hypothesis [see Corradi and Swanson (2004, 2005) and Chao et al. (2001)].”
• A Simple Approach to the Parametric Estimation of Potentially Nonstationary Diffusions (2005, unknown): “Empirical distribution function-based tests for stationary scalar and multivariate diffusion processes are discussed in Corradi and Swanson (2005).”
• An updated review of Goodness-of-Fit tests for regression models (2013, unknown): “…models for the marginal density of Xt rates by comparing the implied density with a nonparametric estimator, without considering discrete approximations to the process, whereas Corradi and Swanson (2005) discussed GoF tests by comparing cumulative distribution functions instead of densities.”