Non‐Parametric Regression Models of Deviations from Othogonality in the Expectations Theory of the Term Structure
用非参数回归检验期限结构预期理论，发现利差绝对值大时预测误差与利差的正交性持续偏离，且ARCH-M模型虽能解释流动性溢价的部分时变，但不足以完全解释这种偏离。
Regression tests of the expectations theory of the term structure typically reject the null hypothesis of orthogonality between implied forecast errors and the yield spreads. In the statistical literature on the term structure, these rejections are sometimes attributed to time‐varying liquidity premia, and Engle et al . (1987) suggest that the ARCH‐M model of time‐variation in the liquidity premium may be sufficient to account for rejections of the expectations theory. We use non‐parametric (kernel) regression to explore the regression test results on a number of data sets, and find some evidence of a persistent deviation from orthogonality for large absolute values of the spread. Incorporating ARCH‐in‐mean into models of the term premium indicates that this specification does explain significant time variation in liquidity premia, but the effect does not apepar to be sufficient to account for all of the deviations from orthogonality of forecast errors and spreads.