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

Brennan Thompson ()

Economics Bulletin, 2009, vol. 29, issue 3, 2343-2349

Abstract: 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.

Keywords: Nonparametric local linear estimation; Two-factor term structure models; Model specification tests (search for similar items in EconPapers)
JEL-codes: C1 (search for similar items in EconPapers)
Date: 2009-09-16
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Persistent link: https://EconPapers.repec.org/RePEc:ebl:ecbull:eb-09-00130

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