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Minimum distance estimation and testing for interest rate models

✍ Scribed by Eric Fournié

Publisher
Elsevier Science
Year
1995
Tongue
English
Weight
306 KB
Volume
38
Category
Article
ISSN
0378-4754

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✦ Synopsis

We present some methods for the estimation and testing of usual ergodic interest rate models based on the observation of the short interest rate on the monetary market. First, we develop a test of type Kolmogorov-Smirnov for ergodic diffusion processes. We extend the results to the case where some parameters are estimated. Thereafter, we study a minimum distance estimator, based on the LZu norm of the empirical process, which can be more robust than the usual ones (MLE, Bayes, MME) to some miss-specifications of the model.

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