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Bootstrapping The Long Run

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  • CONLEY, TIMOTHY G.
  • HANSEN, LARS PETER
  • LIU, WEN-FANG

Abstract

We develop and apply bootstrap methods for diffusion models whenfitted to the long run as characterized by the stationarydistribution of the data. To obtain bootstrap refinements tostatistical inference, we simulate candidate diffusion processes. Weuse these bootstrap methods to assess measurements of local meanreversion or pull to the center of the distribution for short-terminterest rates. We also use them to evaluate the fit of the model to the empirical density.

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Bibliographic Info

Article provided by Cambridge University Press in its journal Macroeconomic Dynamics.

Volume (Year): 1 (1997)
Issue (Month): 02 (June)
Pages: 279-311

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Handle: RePEc:cup:macdyn:v:1:y:1997:i:02:p:279-311_00

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Cited by:
  1. Chernov, Mikhail & Mueller, Philippe, 2008. "The Term Structure of Inflation Expectations," CEPR Discussion Papers 6809, C.E.P.R. Discussion Papers.
  2. Ruslan Bikbov & Mikhail Chernov, 2010. "No-arbitrage macroeconomic determinants of the yield curve," Post-Print peer-00732517, HAL.
  3. Hidehiko Ichimura & Petra E. Todd, 2006. "Implementing Nonparametric and Semiparametric Estimators," CIRJE F-Series CIRJE-F-452, CIRJE, Faculty of Economics, University of Tokyo.
  4. Timothy Conley & Francesca Molinari, 2005. "Spatial correlation robust inference with Errors in Location or Distance," CeMMAP working papers CWP10/05, Centre for Microdata Methods and Practice, Institute for Fiscal Studies.
  5. MEDDAHI, Nour, 2001. "An Eigenfunction Approach for Volatility Modeling," Cahiers de recherche 2001-29, Universite de Montreal, Departement de sciences economiques.
  6. Fernandes, Marcelo, 2006. "Financial crashes as endogenous jumps: estimation, testing and forecasting," Journal of Economic Dynamics and Control, Elsevier, vol. 30(1), pages 111-141, January.
  7. Mikhail Chernov & Ruslan Bikbov, 2009. "Monetary Policy Regimes and the Term Structure of Interest Rates," 2009 Meeting Papers 334, Society for Economic Dynamics.
  8. Chen, Xiaohong & Liao, Zhipeng & Sun, Yixiao, 2014. "Sieve inference on possibly misspecified semi-nonparametric time series models," Journal of Econometrics, Elsevier, vol. 178(P3), pages 639-658.

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