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BOOTSTRAPPING THE LONG RUN

Published online by Cambridge University Press:  02 March 2005

TIMOTHY G. CONLEY
Affiliation:
Northwestern University
LARS PETER HANSEN
Affiliation:
University of Chicago and National Bureau of Economic Research
WEN-FANG LIU
Affiliation:
University of Chicago

Extract

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.

Information

Type
Research Article
Copyright
© 1997 Cambridge University Press

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