Nonparametric specification testing for continuous-time models with applications to term structure of interest rates
Nonparametric specification testing for continuous-time models with applications to term structure of interest rates
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DOI：
10.1093/rfs/hhh006
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发表时间：
2005-03-01
影响因子：
8.2
通讯作者：
Li, HT
中科院分区：
文献类型：
--
作者：
Hong, YM;Li, HT
我们使用转变密度为连续时间模型开发非参数规范测试。使用数据变换和校正核估计器的边界偏差，我们的测试对于数据中的序列依赖性具有鲁棒性，并提供出色的有限样本性能。除了单变量扩散模型之外，我们的测试还适用于各种连续时间和离散时间动态模型，包括时间非均匀扩散、GARCH、随机波动、状态切换、跳跃扩散和多元扩散模型。还提出了一类单独的推理程序来帮助衡量模型错误指定的可能来源。我们强烈反对针对每日欧洲美元即期汇率的各种单变量扩散模型以及针对每月美国国债收益率的一些流行的多元仿射期限结构模型。
We develop a nonparametric specification test for continuous-time models using the transition density. Using a data transform and correcting for the boundary bias of kernel estimators, our test is robust to serial dependence in data and provides excellent finite sample performance. Besides univariate diffusion models, our test is applicable to a wide variety of continuous-time and discrete-time dynamic models, including time-inhomogeneous diffusion, GARCH, stochastic volatility, regime-switching, jump-diffusion, and multivariate diffusion models. A class of separate inference procedures is also proposed to help gauge possible sources of model misspecification. We strongly reject a variety of univariate diffusion models for daily Eurodollar spot rates and some popular multivariate affine term structure models for monthly U.S. Treasury yields.