Since 2014
Identification of Gaussian Term Structure Models with Observable Factors
Brazilian Review of Econometrics
View Archive Info| Field | Value | |
| Title |
Identification of Gaussian Term Structure Models with Observable Factors
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| Creator |
Matsumura, Marco; IPEA
Moreira, Ajax; IPEAIPEA Vicente, Jose Valentim Machado; Central Bank of Brazil and Faculdades Ibmec-RJ |
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| Subject |
identification, macroeconomic variables, term structure models
C13, G12, E43 |
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| Description |
We define invariant operators for term structure models with observable factors, and show that they preserve the likelihood. Thus, the models need to be identified, and alternative restrictions are proposed. The choice of identification keeps the responses of the yield curve and of the observable factors to state variable shocks unchanged. However, it may affect the latent response.
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| Publisher |
Sociedade Brasileira de Econometria
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| Contributor |
—
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| Date |
2011-01-01
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| Type |
info:eu-repo/semantics/article
info:eu-repo/semantics/publishedVersion — — |
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| Format |
application/pdf
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| Identifier |
http://bibliotecadigital.fgv.br/ojs/index.php/bre/article/view/5835
10.12660/bre.v31n22011.5835 |
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| Source |
Brazilian Review of Econometrics; Vol 31, No 2 (2011); 259-269
Brazilian Review of Econometrics; Vol 31, No 2 (2011); 259-269 1980-2447 |
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| Language |
eng
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| Relation |
http://bibliotecadigital.fgv.br/ojs/index.php/bre/article/view/5835/4530
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