Nonparametric Specification Testing for Continuous-Time Models with Applications to Term Structure of Interest Rates
提出一种基于转移密度的非参数设定检验，适用于多种连续时间和离散时间动态模型，并用于检验利率期限结构模型，发现多种单变量扩散模型和多变量仿射期限结构模型被强烈拒绝。
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. Copyright 2005, Oxford University Press.