{"status":"ok","message-type":"work","message-version":"1.0.0","message":{"indexed":{"date-parts":[[2026,2,13]],"date-time":"2026-02-13T16:35:20Z","timestamp":1771000520314,"version":"3.50.1"},"reference-count":21,"publisher":"Wiley","issue":"1","license":[{"start":{"date-parts":[[2002,12,17]],"date-time":"2002-12-17T00:00:00Z","timestamp":1040083200000},"content-version":"vor","delay-in-days":1050,"URL":"http:\/\/onlinelibrary.wiley.com\/termsAndConditions#vor"}],"content-domain":{"domain":["onlinelibrary.wiley.com"],"crossmark-restriction":true},"short-container-title":["The Journal of Finance"],"published-print":{"date-parts":[[2000,2]]},"abstract":"<jats:p><jats:ext-link xmlns:xlink=\"http:\/\/www.w3.org\/1999\/xlink\" xlink:href=\"#jofi208-bib-0001\">A\u00eft\u2010Sahalia (1996)<\/jats:ext-link> and <jats:ext-link xmlns:xlink=\"http:\/\/www.w3.org\/1999\/xlink\" xlink:href=\"#jofi208-bib-0021\">Stanton (1997)<\/jats:ext-link> use nonparametric estimators applied to short\u2010term interest rate data to conclude that the drift function contains important nonlinearities. We study the finite\u2010sample properties of their estimators by applying them to simulated sample paths of a square\u2010root diffusion. Although the drift function is linear, both estimators suggest nonlinearities of the type and magnitude reported in <jats:ext-link xmlns:xlink=\"http:\/\/www.w3.org\/1999\/xlink\" xlink:href=\"#jofi208-bib-0001\">A\u00eft\u2010Sahalia (1996)<\/jats:ext-link> and <jats:ext-link xmlns:xlink=\"http:\/\/www.w3.org\/1999\/xlink\" xlink:href=\"#jofi208-bib-0021\">Stanton (1997)<\/jats:ext-link>. Combined with the results of a weighted least squares estimator, this evidence implies that nonlinearity of the short rate drift is not a robust stylized fact.<\/jats:p>","DOI":"10.1111\/0022-1082.00208","type":"journal-article","created":{"date-parts":[[2003,3,12]],"date-time":"2003-03-12T07:33:50Z","timestamp":1047454430000},"page":"355-388","update-policy":"https:\/\/doi.org\/10.1002\/crossmark_policy","source":"Crossref","is-referenced-by-count":170,"title":["Is the Short Rate Drift Actually Nonlinear?"],"prefix":"10.1111","volume":"55","author":[{"given":"David A.","family":"Chapman","sequence":"first","affiliation":[],"role":[{"role":"author","vocabulary":"crossref"}]},{"given":"Neil D.","family":"Pearson","sequence":"additional","affiliation":[],"role":[{"role":"author","vocabulary":"crossref"}]}],"member":"311","published-online":{"date-parts":[[2007,3,31]]},"reference":[{"key":"e_1_2_12_2_1","doi-asserted-by":"publisher","DOI":"10.1093\/rfs\/9.2.385"},{"key":"e_1_2_12_3_1","doi-asserted-by":"publisher","DOI":"10.2307\/2951574"},{"key":"e_1_2_12_4_1","doi-asserted-by":"publisher","DOI":"10.2469\/faj.v46.n1.33"},{"key":"e_1_2_12_5_1","doi-asserted-by":"publisher","DOI":"10.2469\/faj.v47.n4.52"},{"key":"e_1_2_12_6_1","doi-asserted-by":"publisher","DOI":"10.1016\/0378-4266(79)90011-6"},{"key":"e_1_2_12_7_1","doi-asserted-by":"publisher","DOI":"10.1111\/j.1540-6261.1992.tb04011.x"},{"key":"e_1_2_12_8_1","doi-asserted-by":"publisher","DOI":"10.2307\/2330930"},{"key":"e_1_2_12_9_1","doi-asserted-by":"publisher","DOI":"10.2307\/1911242"},{"key":"e_1_2_12_10_1","doi-asserted-by":"crossref","DOI":"10.1515\/9780691218632","volume-title":"Time Series Analysis","author":"Hamilton James D.","year":"1994"},{"key":"e_1_2_12_11_1","doi-asserted-by":"publisher","DOI":"10.1017\/CCOL0521382483"},{"key":"e_1_2_12_12_1","volume-title":"Nonlinear mean reversion in the short\u2010term interest rate, Unpublished paper","author":"Jones Christopher S.","year":"1998"},{"key":"e_1_2_12_13_1","volume-title":"A Second Course in Stochastic Processes","author":"Karlin Samuel","year":"1981"},{"key":"e_1_2_12_14_1","doi-asserted-by":"publisher","DOI":"10.1016\/0304-405X(80)90007-0"},{"key":"e_1_2_12_15_1","doi-asserted-by":"publisher","DOI":"10.2307\/2297912"},{"key":"e_1_2_12_16_1","doi-asserted-by":"publisher","DOI":"10.1111\/j.1540-6261.1994.tb02454.x"},{"key":"e_1_2_12_17_1","doi-asserted-by":"publisher","DOI":"10.1093\/rfs\/11.3.449"},{"key":"e_1_2_12_18_1","doi-asserted-by":"publisher","DOI":"10.1080\/03610928408828728"},{"key":"e_1_2_12_19_1","doi-asserted-by":"publisher","DOI":"10.1111\/j.1467-9892.1983.tb00368.x"},{"key":"e_1_2_12_20_1","doi-asserted-by":"publisher","DOI":"10.1007\/BF02482541"},{"key":"e_1_2_12_21_1","doi-asserted-by":"publisher","DOI":"10.1007\/978-1-4899-3324-9"},{"key":"e_1_2_12_22_1","doi-asserted-by":"publisher","DOI":"10.1111\/j.1540-6261.1997.tb02748.x"}],"container-title":["The Journal of Finance"],"original-title":[],"language":"en","link":[{"URL":"https:\/\/api.wiley.com\/onlinelibrary\/tdm\/v1\/articles\/10.1111%2F0022-1082.00208","content-type":"unspecified","content-version":"vor","intended-application":"text-mining"},{"URL":"https:\/\/onlinelibrary.wiley.com\/doi\/pdf\/10.1111\/0022-1082.00208","content-type":"unspecified","content-version":"vor","intended-application":"similarity-checking"}],"deposited":{"date-parts":[[2023,10,2]],"date-time":"2023-10-02T18:21:49Z","timestamp":1696270909000},"score":1,"resource":{"primary":{"URL":"https:\/\/onlinelibrary.wiley.com\/doi\/10.1111\/0022-1082.00208"}},"subtitle":[],"short-title":[],"issued":{"date-parts":[[2000,2]]},"references-count":21,"journal-issue":{"issue":"1","published-print":{"date-parts":[[2000,2]]}},"alternative-id":["10.1111\/0022-1082.00208"],"URL":"https:\/\/doi.org\/10.1111\/0022-1082.00208","archive":["Portico"],"relation":{},"ISSN":["0022-1082","1540-6261"],"issn-type":[{"value":"0022-1082","type":"print"},{"value":"1540-6261","type":"electronic"}],"subject":[],"published":{"date-parts":[[2000,2]]},"assertion":[{"value":"2007-03-31","order":2,"name":"published","label":"Published","group":{"name":"publication_history","label":"Publication History"}}]}}