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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

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