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Fuzzy Differences in Differences

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  • Clément de CHAISEMARTIN

    (Crest)

Abstract

A large part of the term structure literature interprets one of the under-lying factors as a level factor. In this paper we consider a single factor modelinterpretable as a level factor model. We prove that this model is compat-ible with no-arbitrage restrictions and the positivity of rates under ratherunrealistic conditions on the dynamic of the short term interest rate. Thisintroduces some doubt on the relevance of the level interpretation of a factorin term structure models.

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Paper provided by Centre de Recherche en Economie et Statistique in its series Working Papers with number 2010-08.

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Date of creation: 2010
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Handle: RePEc:crs:wpaper:2010-08

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  1. Battistin, Erich & Rettore, Enrico, 2008. "Ineligibles and eligible non-participants as a double comparison group in regression-discontinuity designs," Journal of Econometrics, Elsevier, vol. 142(2), pages 715-730, February.
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  8. Evans, William N. & Ringel, Jeanne S., 1999. "Can higher cigarette taxes improve birth outcomes?," Journal of Public Economics, Elsevier, vol. 72(1), pages 135-154, April.
  9. Hoyt Bleakley & Aimee Chin, 2004. "Language Skills and Earnings: Evidence from Childhood Immigrants," The Review of Economics and Statistics, MIT Press, vol. 86(2), pages 481-496, May.
  10. Andrews, Donald W.K. & Guggenberger, Patrik, 2010. "ASYMPTOTIC SIZE AND A PROBLEM WITH SUBSAMPLING AND WITH THE m OUT OF n BOOTSTRAP," Econometric Theory, Cambridge University Press, vol. 26(02), pages 426-468, April.
  11. Eissa, Nada & Liebman, Jeffrey B, 1996. "Labor Supply Response to the Earned Income Tax Credit," The Quarterly Journal of Economics, MIT Press, vol. 111(2), pages 605-37, May.
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