Semi-nonparametric estimation and misspecification testing of diffusion models
نویسندگان
چکیده
منابع مشابه
Semi-Nonparametric Modeling and Estimation∗
In this paper it will show how unknown density and distribution functions can be modeled semi-nonparametrically via orthonormal series expansions, and how to estimate semi-nonparametric (SNP) models via a sieve estimation approach. As an application I will focus on the mixed proportional hazard (MPH) model with fixed right censoring and unspecified mixing distribution and baseline hazard. I wil...
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ژورنال
عنوان ژورنال: Journal of Econometrics
سال: 2011
ISSN: 0304-4076
DOI: 10.1016/j.jeconom.2011.07.001