Authors: Dette, Holger
Weißbach, Rafael
Title: A bootstrap test for the comparison of nonlinear time series - with application to interest rate modelling
Language (ISO): en
Abstract: 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.
Subject Headings: Comparision of conditional expectations
Cox-Ingersoll-Ross
Interest rate
Local linear estimation
Mean reversion
Nonparametric autoregressive time series
Ornstein-Uhlenbeck
Wild bootstrap
URI: http://hdl.handle.net/2003/22692
http://dx.doi.org/10.17877/DE290R-14438
Issue Date: 2006-08-07T12:12:30Z
Appears in Collections:Sonderforschungsbereich (SFB) 475

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