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RATS programs to replicate CKLS(1992) estimation of interest rate models
Tom Doan Statistical Software Components from Boston College Department of Economics
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.
Requires: RATS 7.00
Keywords: Interest; rate; models (search for similar items in EconPapers)
Note: RPF and SRC files are plain text. See http://www.estima.com/ratsfiletypes.shtml
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Downloads: (external link) http://www.estima.com/procs_perl/ckls_jof1992.zip (application/zip)
Related works: Journal Article: An Empirical Comparison of Alternative Models of the Short-Term Interest Rate (1992) This item may be available elsewhere in EconPapers: Search for items with the same title.
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Persistent link: http://EconPapers.repec.org/RePEc:boc:bocode:rtz00035
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