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BOOTSTRAPPING THE LONG RUN

Published online by Cambridge University Press:  02 March 2005

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

Keywords

Bootstrap RefinementsStatistical InferenceMarkov DiffusionsNonparametric Time-Series EstimationShort-Term Interest Rates

Information

Type
Research Article
Information
Macroeconomic Dynamics , Volume 1 , Issue 2 , June 1997 , pp. 279 - 311
Copyright
© 1997 Cambridge University Press

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