In general,the relevant literature of Nelson-Siegel models makes the loading factor λ a constant in advance or a static parameter to be estimated,and the time variation of the loading factor is rarely considered.Based on the score-driven time-varying parameter modeling method,we give the loading factor time-varying under the state space model,then construct GAS-λ-DNS model.The results show that the time-varying loading factor λt has high volatility and is closely related to the economic cycle.When the time-varying loading factor λt is used to predict the growth rate of industrial output,it is found that the loading factor has additional incremental information compared with the traditional macro predictors and λt can significantly improve the prediction accuracy of the models.The conclusion of this paper has reference value for Nelson-Siegel interest rate term structure modeling and the selection of macroeconomic predictors.
维普
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