Nonparametric estimation and specification testing of a two-factor interest rate model

Nonparametric estimation and specification testing of a two-factor interest rate model

Nonparametric estimation and specification testing of a two-factor interest rate model

Nonparametric estimation and specification testing of a two-factor interest rate model

Specification testing in semi-parametric transformation models

In transformation regression models, the response is transformed before fitting a regression model to covariates and transformed response. We assume such a model where the errors are independent from the covariates and the regression function is modeled nonparametrically. We suggest a test for goodness-of-fit of a parametric transformation class based on a distance between a nonparametric transformation estimator and the parametric class. We present asymptotic theory under the null hypothesis of validity of the semi-parametric model and under local alternatives. A bootstrap algorithm is suggested in order to apply the test. We also consider relevant hypotheses to distinguish between large and small distances of the parametric transformation class to the ‘true’ transformation.

SPECIFICATION TESTING FOR ERRORS-IN-VARIABLES MODELS

This paper considers specification testing for regression models with errors-in-variables and proposes a test statistic comparing the distance between the parametric and nonparametric fits based on deconvolution techniques. In contrast to the methods proposed by Hall and Ma (2007, Annals of Statistics, 35, 2620–2638) and Song (2008, Journal of Multivariate Analysis, 99, 2406–2443), our test allows general nonlinear regression models and possesses complementary local power properties. We establish the asymptotic properties of our test statistic for the ordinary and supersmooth measurement error densities. Simulation results endorse our theoretical findings: our test has advantages in detecting high-frequency alternatives and dominates the existing tests under certain specifications.

Specification testing of agent-based simulation using property-based testing

The importance of Agent-Based Simulation (ABS) as scientific method to generate data for scientific models in general and for informed policy decisions in particular has been widely recognised. However, the important technique of code testing of implementations like unit testing has not generated much research interested so far. As a possible solution, in previous work we have explored the conceptual use of property-based testing. In this code testing method, model specifications and invariants are expressed directly in code and tested through automated and randomised test data generation. This paper expands on our previous work and explores how to use property-based testing on a technical level to encode and test specifications of ABS. As use case the simple agent-based SIR model is used, where it is shown how to test agent behaviour, transition probabilities and model invariants. The outcome are specifications expressed directly in code, which relate whole classes of random input to expected classes of output. During test execution, random test data is generated automatically, potentially covering the equivalent of thousands of unit tests, run within seconds on modern hardware. This makes property-based testing in the context of ABS strictly more powerful than unit testing, as it is a much more natural fit due to its stochastic nature.