JSM 2004 - Toronto

Abstract #300861

This is the preliminary program for the 2004 Joint Statistical Meetings in Toronto, Canada. Currently included in this program is the "technical" program, schedule of invited, topic contributed, regular contributed and poster sessions; Continuing Education courses (August 7-10, 2004); and Committee and Business Meetings. This on-line program will be updated frequently to reflect the most current revisions.

To View the Program:
You may choose to view all activities of the program or just parts of it at any one time. All activities are arranged by date and time.

The views expressed here are those of the individual authors
and not necessarily those of the ASA or its board, officers, or staff.

Back to main JSM 2004 Program page
Activity Number: 24
Type: Contributed
Date/Time: Sunday, August 8, 2004 : 2:00 PM to 3:50 PM
Sponsor: Business and Economics Statistics Section
Abstract - #300861
Title: Drift Function Modeling and Testing in Continuous Time Interest Rate Models
Author(s): Myung Suk Kim*+ and Suojin Wang
Companies: Texas A&M University and Texas A&M University
Address: 3143 TAMU, College Station, TX, 77843-3143,
Keywords: drift function ; generalized likelihood test ; consistent nonparametric model specification test ; wild bootstrap method
Abstract:

We test statistical models for the drift function using the weekly U.S. Treasury Bill yields data. Parametric linear and nonlinear regression models are applied to the estimation of the drift function derived by Stanton (1997). We investigate the correctness of the assumed drift models using the consistent nonparametric model specification test and the generalized likelihood ratio test. Both of the tests indicate that there is no strong statistical evidence against the assumed nonlinear drift model as well as the assumed linear drift model. While a weak linear trend is plausible, there is no clear statistical evidence of supporting any exclusive parametric linear or nonlinear drift model.

  • The address information is for the authors that have a + after their name.
  • Authors who are presenting talks have a * after their name.

Back to the full JSM 2004 program

JSM 2004 For information, contact jsm@amstat.org or phone (888) 231-3473. If you have questions about the Continuing Education program, please contact the Education Department.
Revised March 2004