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RATS programs to replicate CKLS(1992) estimation of interest rate models


  • Tom Doan

    () (Estima)


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.

Suggested Citation

  • Tom Doan, "undated". "RATS programs to replicate CKLS(1992) estimation of interest rate models," Statistical Software Components RTZ00035, Boston College Department of Economics.
  • Handle: RePEc:boc:bocode:rtz00035
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    Interest rate models;


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