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dc.contributor.authorGil Bazo, Javier
dc.contributor.authorRubio Irigoyen, Gonzalo
dc.date.accessioned2012-02-06T14:49:26Z
dc.date.available2012-02-06T14:49:26Z
dc.date.issued2002
dc.identifier.issn1988-088X
dc.identifier.urihttp://hdl.handle.net/10810/6754
dc.descriptionPublished as an article in: Studies in Nonlinear Dynamics & Econometrics, 2004, vol. 8, issue 3, article 6.es
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.es
dc.description.sponsorshipJavier Gil-Bazo thanks funding from Ministerio de Educación y Cultura, grant SEC2001-1169. Gonzalo Rubio acknowledges the financial support provided by Ministerio de Ciencia y Tecnología, grant BEC2001-0636, and by Fundación BBVA, research grant 1-BBVA 0004.321-15466/2002.es
dc.language.isoenges
dc.publisherUniversity of the Basque Country, Department of Foundations of Economic Analysis IIes
dc.relationinfo:eu-repo/grantAgreement/MEC/SEC2001-1169
dc.relationinfo:eu-repo/grantAgreement/MCYT/BEC2001-0636
dc.relation.ispartofseriesDFAEII 2002.01
dc.rightsinfo:eu-repo/semantics/openAccesses
dc.rights.urihttp://creativecommons.org/licenses/by-nc-sa/3.0/*
dc.titleA Non-Parametric Dimension Test of the Term Structurees
dc.typeinfo:eu-repo/semantics/workingPaperes
dc.rights.holderAttribution-NonCommercial-ShareAlike 3.0 Unported*
dc.identifier.repecRePEc:ehu:dfaeii:200201es
dc.departamentoesFundamentos del análisis económico IIes_ES
dc.departamentoeuEkonomia analisiaren oinarriak IIes_ES
dc.subject.categoriaECONOMICS, ECONOMETRICS AND FINANCE


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