Nearest-neighbor forecast of U.S. interest rates
We employ a nonlineal: nonparametric method to model the stochastic behavior of changes in several short and long term U.S. interest rates. We apply a nonlinear autoregression to the series using the locally weighted regression (LWR) estimation method, a nearest-neighbor method, and evaluate the for...
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| Main Authors: | , , |
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| Format: | Article |
| Language: | English |
| Published: |
Universiti Utara Malaysia
2003
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| Subjects: | |
| Online Access: | http://repo.uum.edu.my/334/1/John_Barkoulas.pdf http://repo.uum.edu.my/334/ |
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