A Semi-parametric Test for Drift Specication in the Di¤usion Model
نویسنده
چکیده
In this paper, we propose a misspeci cation test for the drift coe¢ cient in a semi-parametric di¤usion model. Our test is based on the score marked empirical process whose asymptotic behavior will be distorted by the estimation of the drift parameters. We use martingale transformtion to take away the estimation e¤ects which makes our test asymptotic distribution-free. The limit theory relies on both "in- ll" and "long-span" asymptotics. The size and power properties are examined via simulation studies and a empirical work is implemented for testing the mean-reverting spot interest rate model.
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