Arbeitspapier
A Bootstrap Test for the Comparison of Nonlinear Time Series - with Application to Interest Rate Modelling
We study the drift of stationary diffusion processes in a time series analysis of the autoregression function. A marked empirical process measures the difference between the nonparametric regression functions of two time series. We bootstrap the distribution of a Kolmogorov-Smirnov-type test statistic for two hypotheses: Equality of regression functions and shifted regression functions. Neither markovian behavior nor Brownian motion error of the processes are assumed. A detailed simulation study finds the size of the new test near the nominal level and a good power for a variety of parametric models. The two-sample result serves to test for mean reversion of the diffusion drift in several examples. The interest rates Euribor, Libor as well as T-Bond yields do not show that stylized feature often modelled for interest rates.
- Language
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Englisch
- Bibliographic citation
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Series: Technical Report ; No. 2006,30
- Event
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Geistige Schöpfung
- (who)
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Dette, Holger
Weißbach, Rafael
- Event
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Veröffentlichung
- (who)
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Universität Dortmund, Sonderforschungsbereich 475 - Komplexitätsreduktion in Multivariaten Datenstrukturen
- (where)
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Dortmund
- (when)
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2006
- Handle
- Last update
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10.03.2025, 11:41 AM CET
Data provider
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ZBW - Deutsche Zentralbibliothek für Wirtschaftswissenschaften - Leibniz-Informationszentrum Wirtschaft. If you have any questions about the object, please contact the data provider.
Object type
- Arbeitspapier
Associated
- Dette, Holger
- Weißbach, Rafael
- Universität Dortmund, Sonderforschungsbereich 475 - Komplexitätsreduktion in Multivariaten Datenstrukturen
Time of origin
- 2006
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