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

We propose a simple, flexible approach to nonparametric estimation and specification testing for a two-factor interest rate model. These methods are illustrated with a Monte Carlo experiment and an empirical example.

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Year of publication:	2009
Authors:	Thompson, Brennan S.
Published in:	Economics Bulletin. - AccessEcon, ISSN 1545-2921. - Vol. 29.2009, 3, p. 2343-2349
Publisher:	AccessEcon
Subject:	Nonparametric local linear estimation \| Two-factor term structure models \| Model specification tests

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Extent:	application/pdf
Type of publication:	Article
Classification:	C1 - Econometric and Statistical Methods: General
Source:	RePEc - Research Papers in Economics

Persistent link: https://www.econbiz.de/10008562989