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

Tom Doan ()

Statistical Software Components from Boston College Department of Economics

Abstract: 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.

Language: RATS
Requires: RATS 7.00
Keywords: Interest; rate; models (search for similar items in EconPapers)
Note: RPF and SRC files are plain text. See https://www.estima.com/ratsfiletypes.shtml
References: Add references at CitEc
Citations:

Downloads: (external link)
https://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)
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Persistent link: https://EconPapers.repec.org/RePEc:boc:bocode:rtz00035

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