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Fuzzy Differences in Differences

  • Clément de CHAISEMARTIN


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. repec:att:wimass:9604 is not listed on IDEAS
  2. Victor Chernozhukov & Sokbae (Simon) Lee & Adam Rosen, 2011. "Intersection bounds: estimation and inference," CeMMAP working papers CWP34/11, Centre for Microdata Methods and Practice, Institute for Fiscal Studies.
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  6. Angrist, Joshua D & Evans, William N, 1998. "Children and Their Parents' Labor Supply: Evidence from Exogenous Variation in Family Size," American Economic Review, American Economic Association, vol. 88(3), pages 450-77, June.
  7. Jörg Stoye, 2008. "More on confidence intervals for partially identified parameters," CeMMAP working papers CWP11/08, Centre for Microdata Methods and Practice, Institute for Fiscal Studies.
  8. 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.
  9. Nada Eissa & Jeffrey B. Liebman, 1995. "Labor Supply Response to the Earned Income Tax Credit," NBER Working Papers 5158, National Bureau of Economic Research, Inc.
  10. Erica Field, 2005. "Property Rights and Investment in Urban Slums," Journal of the European Economic Association, MIT Press, vol. 3(2-3), pages 279-290, 04/05.
  11. 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.
  12. Field, Erica Marie, 2005. "Property Rights and Investment in Urban Slums," Scholarly Articles 3634150, Harvard University Department of Economics.
  13. Charles F. Manski, 1997. "Monotone Treatment Response," Econometrica, Econometric Society, vol. 65(6), pages 1311-1334, November.
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