RATS programs to replicate CKLS(1992) estimation of interest rate models
AbstractReplication files for Chan, Karolyi, Longstaff and Sanders(1992), "Comparison of Models of the Short-Term Interest Rate" Journal of Finance, vol 47, no 3, 1209-1227. This includes both the original analysis and an alternative that uses a common weight matrix for all the restricted models.
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Bibliographic InfoSoftware component provided by Boston College Department of Economics in its series Statistical Software Components with number RTZ00035.
Programming language: RATS
Requires: RATS 7.00
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Postal: Boston College, 140 Commonwealth Avenue, Chestnut Hill MA 02467 USA
Web page: http://fmwww.bc.edu/EC/
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Other versions of this item:
- Chan, K C, et al, 1992. " An Empirical Comparison of Alternative Models of the Short-Term Interest Rate," Journal of Finance, American Finance Association, vol. 47(3), pages 1209-27, July.
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