Is the Short Rate Drift Actually Nonlinear?
通过模拟平方根扩散过程，检验了Aït-Sahalia (1996)和Stanton (1997)的非参数估计方法，发现即使真实漂移是线性的，这些方法也会错误地检测出非线性，从而质疑短期利率漂移非线性这一结论的稳健性。
Aït‐Sahalia (1996) and Stanton (1997) use nonparametric estimators applied to short‐term interest rate data to conclude that the drift function contains important nonlinearities. We study the finite‐sample properties of their estimators by applying them to simulated sample paths of a square‐root diffusion. Although the drift function is linear, both estimators suggest nonlinearities of the type and magnitude reported in Aït‐Sahalia (1996) and Stanton (1997) . Combined with the results of a weighted least squares estimator, this evidence implies that nonlinearity of the short rate drift is not a robust stylized fact.