Aït-Sahalia, Yacine; Park, Joon Y. - In: Journal of Econometrics 169 (2012) 2, pp. 279-292
We analyze in this paper the asymptotic behavior of the specification test of Aït-Sahalia (1996) for the stationary density of a diffusion process, but when the diffusion is not stationary. We consider integrated and explosive processes, as well as nearly integrated ones in the spirit of the...