Nonparametric density estimation and tests of continuous time interest rate models

• 成果类型: Article
• 署名作者: Pritsker, M
• 署名单位: Federal Reserve System - USA; Federal Reserve System Board of Governors
• 刊物名称: REVIEW OF FINANCIAL STUDIES
• ISSN/ISSBN: 0893-9454
• DOI: 10.1093/rfs/11.3.449
• 发表日期: 1998
• 页码: 449
• 关键词: term structure

摘要

I study the finite sample distribution of one of Ait-Sahalia's (1996c) nonparametric tests of continuous-time models of the short-term riskless Fate. The test rejects true models too often because interest rate data are highly persistent but the asymptotic distribution of the test (and of the kernel density estimator on which the test is based) treats the data as if it were independently and identically distributed To attain the accuracy of the kernel density estimator implied by ifs asymptotic distribution with 22 years of data generated from the Vasicek model in fact requires 2755 years of data.