CHANKAROLYI: RATS program to estimate several versions of the CKLS(1992) model for interest rates

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 using NLSYSTEM. Based upon the model from Chan, Karolyi, Longstaff and Sanders(1992), "An Empirical Comparison of Models of the Short-Term Interest Rate" Journal of Finance, vol 47, no 3, 1209-1227.

Language: RATS
Requires: RATS 8.00
Date: 2025-12-29
Note: RPF and SRC files are plain text. See https://estima.com/ratsfiletypes.shtml
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https://estima.com/procedures/chankarolyi.rpf (text/plain)

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