Trying to predict how bond auction result ( in terms of yield ) is different from its forecast (the when-issued yield ).
Auction only happens monthly. Therefore there are only 850 auctions result for bond of all maturity during the last 20 year interval.
If dividing the auction result by maturity term, it would leave each category with less than 200 results.
Plot of auction yield and when-issued yield difference , separated by maturity
Plot of auction yield and when-issued yield difference , not separated by maturity
Should I stay away from fitting a different predictive model for each bond maturity due to data deficiency ?
Instead, Should I do one-hot encoding and use bond maturity as a feature and then fit a single model for all 850 result ?