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

Author

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  • Brennan S. Thompson

    (Ryerson University)

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.

Suggested Citation

  • Brennan S. Thompson, 2009. "Nonparametric estimation and specification testing of a two-factor interest rate model," Economics Bulletin, AccessEcon, vol. 29(3), pages 2343-2349.
    • Handle: RePEc:ebl:ecbull:eb-09-00130
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    More about this item

    Keywords

    Nonparametric local linear estimation; Two-factor term structure models; Model specification tests;
    All these keywords.

    JEL classification:

    • C1 - Mathematical and Quantitative Methods - - Econometric and Statistical Methods and Methodology: General

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