Using discrete-time techniques to test continuous-time models for nonlinearity in drift
This paper examines whether or not a discrete-time econometric test for nonlinearity in mean may be used in cases where the data are believed to be generated in continuous time. It is demonstrated that appropriate bootstrapping techniques are required to yield a test statistic with sensible statistical properties. The technique is demonstrated by using it to examine 7-day Eurodollar rates for nonlinearity in mean. (C) 2003 IMACS. Published by Elsevier B.V. All rights reserved.
testing bootstrap continuous-time processes legendre polynomials