单变量扩散的规范试验

IF 0.8 4区经济学 Q3 ECONOMICS

Econometric Reviews Pub Date : 2021-11-22 DOI:10.1080/07474938.2021.1995683

Stan Hurn, Vance L. Martin, Lina Xu

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引用次数: 0

摘要

摘要提出了一类新的随机微分方程（SDE）的规范检验，以确定估计模型的概率积分变换是否生成独立且同分布的均匀随机变量。测试基于奈曼平滑测试，适当调整以校正由于必须估计SDE的未知参数而产生的尺寸失真和均匀随机变量中可能的相关性。将该测试套件与SDE的其他常用规范测试进行比较。使用一系列蒙特卡罗实验研究了测试的有限样本特性。然后将这些测试应用于测试用于模拟即期利率和金融资产波动性的SDE规范。

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Specification tests for univariate diffusions

Abstract A new class of specification tests for stochastic differential equations (SDE) is proposed to determine whether the probability integral transform of the estimated model generates an independent and identically distributed uniform random variable. The tests are based on Neyman’s smooth test, appropriately adjusted to correct for both the size distortion arising from having to estimate the unknown parameters of the SDE and possible dependence in the uniform random variable. The suite of tests is compared against other commonly used specification tests for SDEs. The finite sample properties of the tests are investigated using a range of Monte Carlo experiments. The tests are then applied to testing the specification of SDEs used to model the spot interest rate and financial asset volatility.

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来源期刊

Econometric Reviews 管理科学-数学跨学科应用

CiteScore

1.70

自引率

0.00%

发文量

审稿时长

>12 weeks

期刊介绍： Econometric Reviews is widely regarded as one of the top 5 core journals in econometrics. It probes the limits of econometric knowledge, featuring regular, state-of-the-art single blind refereed articles and book reviews. ER has been consistently the leader and innovator in its acclaimed retrospective and critical surveys and interchanges on current or developing topics. Special issues of the journal are developed by a world-renowned editorial board. These bring together leading experts from econometrics and beyond. Reviews of books and software are also within the scope of the journal. Its content is expressly intended to reach beyond econometrics and advanced empirical economics, to statistics and other social sciences.