EconStor >
Rutgers University >
Department of Economics, Rutgers University >
Working Papers, Department of Economics, Rutgers University >

Please use this identifier to cite or link to this item:

http://hdl.handle.net/10419/59457
  

Full metadata record

DC FieldValueLanguage
dc.contributor.authorCai, Lilien_US
dc.contributor.authorSwanson, Norman R.en_US
dc.date.accessioned2011-06-14en_US
dc.date.accessioned2012-06-25T11:57:10Z-
dc.date.available2012-06-25T11:57:10Z-
dc.date.issued2011en_US
dc.identifier.urihttp://hdl.handle.net/10419/59457-
dc.description.abstractWe review and construct consistent in-sample specification and out-of-sample model selection tests on conditional distributions and predictive densities associated with continuous multifactor (possibly with jumps) and (non)linear discrete models of the short term interest rate. The results of our empirical analysis are used to carry out a horserace; comparing discrete and continuous models across multiple sample periods, forecast horizons, and evaluation intervals. Our evaluation involves comparing models during two distinct historical periods, as well as across our entire weekly sample of Eurodollar deposit rates from 1982-2008. Interestingly, when our entire sample of data is used to estimate competing models, the best performer in terms of distributional fit as well as predictive density accuracy, both in-sample and out-of-sample, is the three factor Chen (CHEN: 1996) model examined by Andersen, Benzoni and Lund (2004). Just as interestingly, a logistic type discrete smooth transition autoregression (STAR) model is preferred to the best continuous model (i.e. the one factor Cox, Ingersoll, and Ross (CIR: 1985) model) when comparing predictive accuracy for the Stable 1990s period that we examine. Moreover, an analogous result holds for the Post 1990s period that we examine, where the STAR model is preferred to a two factor stochastic mean model. Thus, when the STAR model is parameterized using only data corresponding to a particular sub-sample, it outperforms the best continuous alternative during that period. However, when models are estimated using the entire dataset, the continuous CHEN model is preferred, regardless of the variety of model specification (selection) test that is carried out. Given that it is very difficult to ascertain the particular future regime that will ensue when constructing ex ante predictions, thus, the CHEN model is our overall winning; model, regardless of sample period.en_US
dc.language.isoengen_US
dc.publisherDep. of Economics, Rutgers, the State Univ. of New Jersey New Brunswick, NJen_US
dc.relation.ispartofseriesWorking Papers, Department of Economics, Rutgers, the State University of New Jersey 2011,02en_US
dc.subject.jelC1en_US
dc.subject.jelC5en_US
dc.subject.jelG0en_US
dc.subject.ddc330en_US
dc.subject.keywordinterest rateen_US
dc.subject.keywordmulti-factor diffusion processen_US
dc.subject.keywordspecification testen_US
dc.subject.keywordout-of-sample forecastsen_US
dc.subject.keywordconditional distributionen_US
dc.subject.keywordmodel selectionen_US
dc.subject.keywordblock bootstrapen_US
dc.subject.keywordjump processen_US
dc.subject.stwPrognoseverfahrenen_US
dc.subject.stwZinsen_US
dc.subject.stwEuroen_US
dc.subject.stwUS-Dollaren_US
dc.subject.stwZeitreihenanalyseen_US
dc.subject.stwModellierungen_US
dc.subject.stwTheorieen_US
dc.titleIn- and out-of-sample specification analysis of spot rate models: Further evidence for the period 1982-2008en_US
dc.typeWorking Paperen_US
dc.identifier.ppn662025490en_US
dc.rightshttp://www.econstor.eu/dspace/Nutzungsbedingungenen_US
Appears in Collections:Working Papers, Department of Economics, Rutgers University

Files in This Item:
File Description SizeFormat
662025490.pdf450.85 kBAdobe PDF
No. of Downloads: Counter Stats
Show simple item record
Download bibliographical data as: BibTeX

Items in EconStor are protected by copyright, with all rights reserved, unless otherwise indicated.