Identification and estimation of Gaussian affine term structure models

Journal of Econometrics

Volumn 168, Issue 2, 2012, Pages 315-331

  Hamilton, James D ^a   Wu, Jing Cynthia ^b  

^a UNIVERSITY OF CALIFORNIA   (United States)

^b UNIVERSITY OF CHICAGO   (United States)

Author keywords

Affine term structure models; Estimation; Identification; Minimum chi square

Indexed keywords

AFFINE TERM STRUCTURE MODELS; CANONICAL REPRESENTATIONS; GAUSSIANS; GLOBAL MAXIMUM; LIKELIHOOD FUNCTIONS; MINIMUM-CHI-SQUARE; NEW RESULTS; NUMERICAL OPTIMIZATIONS; STANDARD ERRORS;

ESTIMATION; IDENTIFICATION (CONTROL SYSTEMS);

MAXIMUM LIKELIHOOD ESTIMATION;

EID: 84862804814     PISSN: 03044076     EISSN: None     Source Type: Journal    
DOI: 10.1016/j.jeconom.2012.01.035     Document Type: Article

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