C22 - Time-Series Models; Dynamic Quantile Regressions; Dynamic Treatment Effect Models

• Modelling Mortgage Rate Changes with a Smooth Transition Error-Correction Model

  Staff Working Paper 2001-23 Ying Liu

  This paper uses a smooth transition error-correction model (STECM) to model the one-year and five-year mortgage rate changes. The model allows for a non-linear adjustment process of mortgage rates towards their long-run equilibrium.

  Content Type(s): Staff research, Staff working papers Topic(s): Econometric and statistical methods, Interest rates JEL Code(s): C, C2, C22, C4, C49, E, E4, E47

• Exact Non-Parametric Tests for a Random Walk with Unknown Drift under Conditional Heteroscedasticity

  Staff Working Paper 2001-2 Richard Luger

  This paper proposes a class of linear signed rank statistics to test for a random walk with unknown drift in the presence of arbitrary forms of conditional heteroscedasticity.

  Content Type(s): Staff research, Staff working papers Topic(s): Econometric and statistical methods JEL Code(s): C, C1, C12, C2, C22