Specification tests for univariate diffusions
提出一类新的随机微分方程设定检验，基于概率积分变换和Neyman平滑检验，通过蒙特卡洛实验考察有限样本性质，并应用于即期利率和金融资产波动率模型的检验。
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.