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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.accessioned2010-03-25T12:49:12Z
dc.date.available2010-03-25T12:49:12Z
dc.date.issued2004
dc.description.abstractIn an economy with multiple sources of risk, the short-term interest rate does not capture all the information that determines the conditional distribution of bond yields. This is also true for path-dependent term structure models. In either case, the current short rate level is not a sufficient statistic for the conditional density of future short rates. This paper studies the empirical relevance of both issues from a time-series nonparametric perspective. The analysis is formulated as a test for the dependence of the short rate drift and diffusion on variables other than the short rate, and exploits Ait-Sahalia, Bickel, and Stocker (2001) dimension reduction method. The paper explores the finite sample performance of the method and applies the test to US interest rate data. Results reject a single-factor Markovian model, although conclusions are sensitive to the choice of additional conditioning variables.
dc.description.statusPublicado
dc.format.mimetypeapplication/pdf
dc.identifier.bibliographicCitationStudies in Nonlinear Dynamics and Econometrics, 2004, 8, 3, art.6
dc.identifier.issn1558-3708
dc.identifier.urihttps://hdl.handle.net/10016/7504
dc.language.isoeng
dc.publisherBerkeley Electronic Press
dc.relation.publisherversionhttp://www.bepress.com/snde/vol8/iss3/art6/
dc.rights.accessRightsopen access
dc.subject.ecienciaEmpresa
dc.titleA nonparametric dimension test of the term structure
dc.typeresearch article*
dc.type.reviewPeerReviewed
dspace.entity.typePublication
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