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An omnibus test fully utilizes the information in the joint conditional distribution of the underlying processes and hence has power against a vast class of continuous-time alternatives in the multifactor framework. A class of easy-to-interpret diagnostic procedures is also proposed to gauge possible sources of model misspecification. All the proposed test statistics have a convenient asymptotic<jats:italic>N<\/jats:italic>(0, 1) distribution under correct model specification, and all asymptotic results allow for some data-dependent bandwidth. Simulations show that in finite samples, our tests have reasonable size, thanks to the dimension reduction in nonparametric regression, and good power against a variety of alternatives, including misspecifications in the joint dynamics, but the dynamics of each individual component is correctly specified. This feature is not attainable by some existing tests. A parametric bootstrap improves the finite-sample performance of proposed tests but with a higher computational cost.<\/jats:p>","DOI":"10.1017\/s026646660999048x","type":"journal-article","created":{"date-parts":[[2009,11,4]],"date-time":"2009-11-04T09:17:02Z","timestamp":1257326222000},"page":"1115-1179","source":"Crossref","is-referenced-by-count":21,"title":["CHARACTERISTIC FUNCTION\u2013BASED TESTING FOR MULTIFACTOR CONTINUOUS-TIME MARKOV MODELS VIA NONPARAMETRIC REGRESSION"],"prefix":"10.1017","volume":"26","author":[{"given":"Bin","family":"Chen","sequence":"first","affiliation":[],"role":[{"role":"author","vocabulary":"crossref"}]},{"given":"Yongmiao","family":"Hong","sequence":"additional","affiliation":[],"role":[{"role":"author","vocabulary":"crossref"}]}],"member":"56","published-online":{"date-parts":[[2009,11,4]]},"reference":[{"key":"S026646660999048X_ref78","doi-asserted-by":"publisher","DOI":"10.1016\/0304-405X(77)90016-2"},{"key":"S026646660999048X_ref77","doi-asserted-by":"publisher","DOI":"10.1111\/0022-1082.00261"},{"key":"S026646660999048X_ref75","doi-asserted-by":"publisher","DOI":"10.1214\/aos\/1176343886"},{"key":"S026646660999048X_ref73","doi-asserted-by":"publisher","DOI":"10.1016\/S0304-4076(00)00092-0"},{"key":"S026646660999048X_ref71","doi-asserted-by":"publisher","DOI":"10.1093\/rfs\/11.3.449"},{"key":"S026646660999048X_ref70","doi-asserted-by":"publisher","DOI":"10.1080\/01621459.1999.10474153"},{"key":"S026646660999048X_ref69","first-page":"55","article-title":"A new approach to maximum likelihood estimation for stochastic differential equations based on discrete observations","volume":"22","author":"Pedersen","year":"1995","journal-title":"Scandinavian Journal of Statistics"},{"key":"S026646660999048X_ref67","doi-asserted-by":"publisher","DOI":"10.1111\/j.1467-9892.1996.tb00294.x"},{"key":"S026646660999048X_ref65","doi-asserted-by":"publisher","DOI":"10.2307\/1909571"},{"key":"S026646660999048X_ref41","doi-asserted-by":"publisher","DOI":"10.1007\/978-0-387-69395-8"},{"key":"S026646660999048X_ref43","doi-asserted-by":"publisher","DOI":"10.2307\/2171869"},{"key":"S026646660999048X_ref1","doi-asserted-by":"publisher","DOI":"10.1093\/rfs\/15.1.243"},{"key":"S026646660999048X_ref6","doi-asserted-by":"publisher","DOI":"10.1111\/1468-0262.00274"},{"key":"S026646660999048X_ref26","doi-asserted-by":"crossref","unstructured":"Christoffersen P. , Jacobs K. , & Mimouni K. 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