Minimum distance estimation and testing for interest rate models

Eric Fournié

Mathematics and Computers in Simulation (MATCOM), 1995, vol. 38, issue 1, 143-150

Abstract: 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 Lμ2 norm of the empirical process, which can be more robust than the usual ones (MLE, Bayes, MME) to some miss-specifications of the model.

Keywords: Interest rate model; Ergodic diffusion; Processes; Empirical process; Kolmogorov-Smirnov test; Minimum distance estimation; Miss-specification (search for similar items in EconPapers)
Date: 1995
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Persistent link: https://EconPapers.repec.org/RePEc:eee:matcom:v:38:y:1995:i:1:p:143-150

DOI: 10.1016/0378-4754(93)E0077-I

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