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

Tom Doan ()
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Tom Doan: Estima

Statistical Software Components from Boston College Department of Economics

Abstract: Example of GMM with multiple conditions. Based upon the model from 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.

Language: RATS
Requires: RATS 11.00
Keywords: Interest; rate; models (search for similar items in EconPapers)
Date: 2026-01-02
Note: An RPRJ is a specialized zip file including one or more program files and data files. See https://estima.com/ratsfiletypes.shtml
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https://estima.com/procedures/chankarolyi.rprj (application/zip)

Related works:
Journal Article: An Empirical Comparison of Alternative Models of the Short-Term Interest Rate (1992)
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