Ridge Regression in the Nelson-Siegel model
A. Rodríguez Sánchez, C. B. Garcia Garcia, R. Salmerón Gómez
El modelo de Nelson-Siegel es utilizado para estimar la curva de tipos de interés por la mayoría de Bancos Centrales Europeos. Sin embargo, numerosas investigaciones demuestran que dicho modelo es propenso a presentar problemas de multicolinealidad preocupantes debido a que existe una alta correlación lineal entre dos de sus factores. En este caso, las estimaciones de los coeficientes obtenidas a través de Mínimos Cuadrados Ordinarios (MCO) pueden ser inestables. Esto tiene una alta repercusión para la política monetaria desarrollada. Para intentar mitigar dicho problema algunos autores proponen estimarlo a través de una metodología alternativa a MCO denominada regresión cresta, fijando el denominado shape parameter al inicio del procedimiento, no utilizando datos estandarizados y sin calcular el Número de Condición con datos longitud unidad. Es por ello, que se propone utilizar dicha metodología, pero sin fijar el shape parameter y teniendo en cuenta las limitaciones mencionadas.
Keywords: Nelson-Siegel, multicolinealidad, shape parameter, regresión cresta.
Scheduled
Invited Session Quantitative Methods for Economics and Business.
June 7, 2022 4:50 PM
Grade Hall
Other papers in the same session
C. García García, R. Salmerón Gómez, C. Garcia Garcia
F. Prieto, J. M. Sarabia, E. Calderín-Ojeda
R. Salmerón Gómez, C. Garcia Garcia, J. Garcia Perez
C. Garcia Garcia, R. Salmerón Gómez, J. Garcia Perez
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