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Un Modelo Estadístico Flexible para la Estructura Intertemporal de Tasas en Chile

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Dante Jara (Corporacion Financiera de Desarrollo)
Abstract

El presente trabajo plantea un modelo estadístico flexible que captura paramétricamente la compleja condicionalidad y desvíos de normalidad que caracteriza a la estructura intertemporal de tasas de interés en la economía chilena entre los años 1992 y 2003. El modelo general consiste en una aproximación SemiNoParamétrica a la densidad condicional del proceso conjunto que siguen las tasas a 6 meses y 5 años. Este trabajo realiza el ejercicio de elección del mejor modelo, escogiendo el grado de flexibilidad necesario para capturar los hechos estilizados, por lo que son los datos los que indican la forma funcional específica para su densidad conjunta. Se implementa un algoritmo de simulación del modelo estadístico estimado, lo cual permite simular series artificiales de estructura de tasas a fin de verificar sus principales regularidades empíricas. El modelo SNP estimado puede ser utilizado como métrica para discriminar entre modelos alternativos de equilibrio general que pretendan dar cuenta de los hechos estilizados de estructura de tasas en la economía chilena.

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Paper provided by EconWPA in its series Econometrics with number 0412010.

Download reference. The following formats are available: HTML (with abstract), plain text (with abstract), BibTeX, RIS (EndNote, RefMan, ProCite), ReDIF
Length: 29 pages
Date of creation: 17 Dec 2004
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Handle: RePEc:wpa:wuwpem:0412010

Note: Type of Document - pdf; pages: 29
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Web page: http://129.3.20.41

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Find related papers by JEL classification:
C1 - Mathematical and Quantitative Methods - - Econometric and Statistical Methods: General
C2 - Mathematical and Quantitative Methods - - Single Equation Models; Single Variables
C3 - Mathematical and Quantitative Methods - - Multiple or Simultaneous Equation Models; Multiple Variables
C4 - Mathematical and Quantitative Methods - - Econometric and Statistical Methods: Special Topics
C5 - Mathematical and Quantitative Methods - - Econometric Modeling
C8 - Mathematical and Quantitative Methods - - Data Collection and Data Estimation Methodology; Computer Programs

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Please report citation or reference errors to , or , if you are the registered author of the cited work, log in to your RePEc Author Service profile, click on "citations" and make appropriate adjustments.:
  1. Gallant, A. Ronald & Tauchen, George, 2002. "Efficient Method of Moments," Working Papers 02-06, Duke University, Department of Economics. [Downloadable!]
  2. Victor Fenton & Gallant, A. Ronald, 1996. "Qualitative and Asymptotic Performance of SNP Density Estimators," Working Papers 96-17, Duke University, Department of Economics.
  3. Gallant, A Ronald & Rossi, Peter E & Tauchen, George, 1993. "Nonlinear Dynamic Structures," Econometrica, Econometric Society, vol. 61(4), pages 871-907, July. [Downloadable!] (restricted)
  4. Gallant, A Ronald & Rossi, Peter E & Tauchen, George, 1992. "Stock Prices and Volume," Review of Financial Studies, Oxford University Press for Society for Financial Studies, vol. 5(2), pages 199-242. [Downloadable!] (restricted)
  5. Fenton, Victor M. & Gallant, A. Ronald, 1996. "Qualitative and asymptotic performance of SNP density estimators," Journal of Econometrics, Elsevier, vol. 74(1), pages 77-118, September. [Downloadable!] (restricted)
  6. White, Halbert, 1980. "Using Least Squares to Approximate Unknown Regression Functions," International Economic Review, Department of Economics, University of Pennsylvania and Osaka University Institute of Social and Economic Research Association, vol. 21(1), pages 149-70, February. [Downloadable!] (restricted)
  7. Gallant, Ronald & Tauchen, George, 1989. "Seminonparametric Estimation of Conditionally Constrained Heterogeneous Processes: Asset Pricing Applications," Econometrica, Econometric Society, vol. 57(5), pages 1091-1120, September. [Downloadable!] (restricted)
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