RATS programs to replicate CKLS(1992) estimation of interest rate models
Replication 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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|Note:||RPF and SRC files are plain text. See http://www.estima.com/ratsfiletypes.shtml|
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Web page: http://fmwww.bc.edu/EC/
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