Nonparametric specification testingfor continuous time models for interest rates in Mexico

En este artículo se propone una prueba estadística para la especificación de los modelos paramétricos de dos factores. Se presentan tres pruebas diferentes. Las dos primeras se basan en una comparación de la estimación de la densidad de núcleo de la función de densidad desconocida la estimación de la función de densidad marginal mediante el método Delta. La última prueba se basa en la idea de la comparación entre la estimación de la densidad de núcleo y el modelo paramétrico de la densidad de núcleo suavizado para evitar los efectos de sesgo. En particular, esta prueba se aplicó para determinar si la dinámica de la estructura temporal de tasa de interés de Cetes en México para el período 2002-2009 puede ser modelada a partir de los supuestos de los dos modelos, el de Brennan-Schwartz y el de Schaefer y Schwartz; los resultados de la prueba muestran que ambos modelos continuos son rechazados y por lo tanto no son capaces de describir los datos de los Cetes en México.

modelo de tiempo continuo, función de densidad marginal, método Delta, estimación no paramétrica, proceso de difusión

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