Chan Karolyi Longstaff Sanders JOF 1992

[TomDoan]

The following is a replication of the estimation of various interest rate models by GMM from Chan, Karolyi, Longstaff and Sanders(1992), "An Empirical Comparison of Models of the Short-Term Interest Rate", Journal of Finance, vol 47, no 3, 1209-1227. Note that the model, while estimated by monthly data, uses a parameterization which annualizes the rates. This includes two versions for the estimation; one which uses the weighting scheme from the original paper, the other uses a common weighting scheme computing under the just-identified specification.

ckls.rpf

Original estimation method

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ckls commonsw.rpf

Alternative estimation method

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rates.txt

Data file

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