Chan Karolyi Longstaff Sanders JOF 1992
Posted: Mon Apr 29, 2013 1:04 pmThe 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
- (5.3 KiB) Downloaded 3 times
- ckls commonsw.rpf
- Alternative estimation method
- (5.52 KiB) Downloaded 3 times
- rates.txt
- Data file
- (5.4 KiB) Downloaded 126 times