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英文文献：Semi-Nonparametric Estimation and Misspecification Testing of Diffusion Models
英文文献作者：Dennis Kristensen
英文文献摘要：
Novel transition-based misspeci?cation tests of semiparametric and fully parametric univariate diffusion models based on the estimators developed in Kristensen (Journal of Econometrics, 2010) are proposed. It is demonstrated that transition-based tests in general lack power in detecting local departures from the null since they integrate out local features of the drift and volatility. As a solution to this, tests that directly compare drift and volatility estimators under the relevant null and alternative are also developed which exhibit better power against local alternatives.
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