The technique of using densities and conditional distributions to carry out consistent specification testing and model selection amongst multiple diffusion processes have received considerable attention from both financial theoreticians and empirical econometricians over the last two decades....

The paper proposes a simple test for the hypothesis of strong cycles and as a by-product a test for weak dependence for linear processes. We show that the limit distribution of the test is the maximum of a (semi)Gaussian process G(amp;#964;), amp;#964; amp;#8712; [0; 1]. Because the covariance structure of...

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