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A nonparametric dimension test of the term structure

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dc.affiliation.dptoUC3M. Departamento de Economía de la Empresaes
dc.contributor.authorGil-Bazo, Javier
dc.contributor.authorRubio, Gonzalo
dc.date.accessioned2006-11-08T14:54:19Z
dc.date.available2006-11-08T14:54:19Z
dc.date.issued2001-03
dc.description.abstractThis paper addresses the problem of conducting a nonparametric test of the dimension of the state variable vector in a continuous-time term structure model. The paper shows that a bivariate diffusion function of the short rate process is a sufficient condition for the term structure to be driven by two stochastic factors. Using an easy-to-implement kernel smoothing method the number of state variables can be tested under very unrestrictive assumptions. The results suggest that continuous-time models for the US interest rates should contain at least two stochastic factors.
dc.format.extent197159 bytes
dc.format.mimetypeapplication/pdf
dc.identifier.repecwb012106
dc.identifier.urihttps://hdl.handle.net/10016/133
dc.language.isoeng
dc.relation.ispartofseriesUC3M Working Papers. Bussiness Economics
dc.relation.ispartofseries2001-06
dc.rights.accessRightsopen access
dc.subject.ecienciaEmpresa
dc.titleA nonparametric dimension test of the term structure
dc.typeworking paper*
dspace.entity.typePublication
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