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

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.

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Year of publication:	2004
Authors:	Becker, R. ; Hurn, A.S.
Published in:	Mathematics and Computers in Simulation (MATCOM). - Elsevier, ISSN 0378-4754. - Vol. 64.2004, 1, p. 121-131
Publisher:	Elsevier
Subject:	Testing \| Continuous-time processes \| Bootstrap \| Legendre polynomials

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Type of publication:	Article
Source:	RePEc - Research Papers in Economics

Persistent link: https://www.econbiz.de/10010749292