Using discrete-time techniques to test continuous-time models for nonlinearity in drift

R. Becker; A. S. Hurn

doi:10.1016/j.matcom.2003.07.001

Using discrete-time techniques to test continuous-time models for nonlinearity in drift

R. Becker, A. S. Hurn

Economics

Research output: Contribution to journal › Article › peer-review

Abstract

This paper examines whether or not a discrete-time econometric test for nonlinearity in mean may be used in cases where the data are believed to be generated in continuous time. It is demonstrated that appropriate bootstrapping techniques are required to yield a test statistic with sensible statistical properties. The technique is demonstrated by using it to examine 7-day Eurodollar rates for nonlinearity in mean. © 2003 IMACS. Published by Elsevier B.V. All rights reserved.

Original language	English
Pages (from-to)	121-131
Number of pages	10
Journal	Mathematics and Computers in Simulation
Volume	64
Issue number	1
DOIs	https://doi.org/10.1016/j.matcom.2003.07.001
Publication status	Published - 5 Jan 2004

Keywords

Bootstrap
Continuous-time processes
Legendre polynomials
Testing

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10.1016/j.matcom.2003.07.001

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AB - This paper examines whether or not a discrete-time econometric test for nonlinearity in mean may be used in cases where the data are believed to be generated in continuous time. It is demonstrated that appropriate bootstrapping techniques are required to yield a test statistic with sensible statistical properties. The technique is demonstrated by using it to examine 7-day Eurodollar rates for nonlinearity in mean. © 2003 IMACS. Published by Elsevier B.V. All rights reserved.

KW - Bootstrap

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KW - Legendre polynomials

KW - Testing

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Using discrete-time techniques to test continuous-time models for nonlinearity in drift

Abstract

Keywords

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