Becker, R.; Hurn, A.S. - In: Mathematics and Computers in Simulation (MATCOM) 64 (2004) 1, pp. 121-131
This paper examines whether or not a discrete-time econometric test for nonlinearity in mean may be used in cases where the data are believed to be generated in continuous time. It is demonstrated that appropriate bootstrapping techniques are required to yield a test statistic with sensible...