摘要：This paper explores an empirical methodology of investigating dif-
fusion factor term structure models. This method is used to di-
agnose the validity of term structure models of given number of
factors by investigating the uniqueness of stochastic discount fac-
tors implied by the models, or the equivalence of market price of
risk across di®erent bonds. Since we do not impose any paramet-
ric assumptions about dynamics of interest rates and market price
of factor risk, this test constructs a direct inference on the consis-
tency of di®usion factor models with bond data. We apply this
methodology to a single factor di®usion model using daily data
of Japan Government Bond (JGB) market over the period from
January 2005 to December 2008.
