The Dynamics of Economic Functions: Modeling and Forecasting the Yield Curve
经济函数的动态演化：收益率曲线建模与预测
The class of functional signal plus noise (FSN) models is introduced that provides a new, general method for modeling and forecasting time series of economic functions. The underlying, continuous economic function (or “signal”) is a natural cubic spline whose dynamic evolution is driven by a cointegrated vector autoregression for the ordinates (or “y-values”) at the knots of the spline. The natural cubic spline provides flexible cross-sectional fit and results in a linear…