Specification Analysis of Affine Term Structure Models

Specification Analysis of Affine Term Structure Models (1997)

by Qiang Dai , Kenneth J. Singleton

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Datum	Value	Source
TITLE	Specification Analysis of Affine Term Structure Models	user correction - Legacy Corrections
AUTHOR NAME	Qiang Dai	SVM HeaderParse 0.1
AUTHOR AFFIL	Stanford University; and	SVM HeaderParse 0.2
AUTHOR NAME	Kenneth J. Singleton	SVM HeaderParse 0.1
AUTHOR AFFIL	Stanford University and NBER	SVM HeaderParse 0.2
ABSTRACT	In this paper, we characterize, interpret, and test the over-identifying restrictions imposed in affine models of the term-structure. "We begin by showing, using the classification scheme proposed by Dai, Liu, and Singleton [10] for general affine diffusions, that the family of N-factor models can be classified into N + 1 non-nested sub-families of models. For each subfamily, we derive a canonical model with the property that every admissible member of this family is equivalent to or a nested special case of our canonical model. Second, using our classification scheme and canonical models, we show that many of the three-factor models in the literature impose potentially strong over-identifying restrictions, and we completely characterize these restrictions. Finally, we compute simulated-method-of-moments estimates for several members of the sub-family of three-factor models that nest the "benchmark" model of Chen [8], and test the over-identifying restrictions on the joint distribution...	user correction - Legacy Corrections
YEAR	1997	user correction - Legacy Corrections
CITATIONS	24 found	ParsCit 1.0