This paper provides an econometric analysis of parameter estimation for continuous-time affine term structure models …) estimation. To cope with the discrepancy between a continuous-time formulation and data only available in discrete time, we use … estimation we employ genetic algorithms with penalty functions for the parameter restrictions. For ML estimation we employ both …

This paper investigates the performance of a jackknife correction to a test for cointegration rank in a vector …

characterization of the bias in case this condition is violated. A feasible bias correction method is shown to virtually eliminate the … bias over a large part of the parameter space …