|
| |
| Brennan S. Thompson |
| |
| ''Nonparametric estimation and specification testing of a two-factor interest rate model'' |
| ( 2009, Vol. 29 No.3 ) |
| |
| |
| 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 |
JEL: C1 - Econometric and Statistical Methods: General
|
| |
| Manuscript Received : Mar 05 2009 | | Manuscript Accepted : Sep 16 2009 |
|
