This paper introduces bootstrap specification tests for diffusion processes. In the one-dimensional case, the proposed test is closest to the non parametric test introduced by Ait-Sahalia (1996), in the sense that both procedures determine whether the drift and variance components of a...

We consider the problem of estimating the fractional order of a Lévy process from low frequency historical and options data. An estimation methodology is developed which allows us to treat both estimation and calibration problems in a unified way. The corresponding procedure consists of two...

In this paper we analyze the world´s cross-national distribution of income and its evolution from 1970 to 2003. We argue that modeling this distribution by a finite mixture and investigating its number of components has advantages over nonparametric inference concerning the number of modes. In...

In this paper we perform inference on the effect of a treatment on survival times in studies where the treatment assignment is not randomized and the assignment time is not known in advance. Two such studies are discussed: a heart transplant program and a study of Swedish unemployed eligible for...

The generalized method of moments estimator may be substantially biased in finite samples, especially so when there are large numbers of unconditional moment conditions. This paper develops a class of first order equivalent semi-parametric efficient estimators and tests for conditional moment...

We propose a new method of testing stochastic dominance which improves on existing tests based on bootstrap or subsampling. Our test requires estimation of the contact sets between the marginal distributions. Our tests have asymptotic sizes that are exactly equal to the nominal level uniformly...

A test for serial independence is proposed which is related to the BDS test but focuses on tail event probabilities rather than probabilities near the center of the distribution. The motivation behind this approach is to obtain a test more suitable for detecting structure in the tails, such as...

We propose a quantification of the p-p plot that assigns equal weight to all distances between the respective distributions: the surface between the p-p plot and the diagonal. This surface is labelled the Harmonic Weighted Mass (HWM) index. We introduce the diagonal-deviation (d-d) plot that...

P-p plots contain all the information that is needed for scale-invariant comparisons. Indeed, Empirical Distribution Function (EDF) tests translate sample p-p plots into a single number. In this paper we characterize the set of all distinct p-p plots for two balanced sample of size n absent...

We introduce a statistical test for comparing the predictive accuracy of competing copula specifications in multivariate density forecasts, based on the Kullback-Leibler Information Criterion (KLIC). The test is valid under general conditions: in particular it allows for parameter estimation...