文章基本信息

标题：Estimating the term structure with linear regressions: Getting to the roots of the problem
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作者：Adam Golinski ; Peter Spencer
期刊名称：Discussion Papers in Economics / Department of Economics, University of York
出版年度：2019
卷号：2019
页码：1-56
出版社：University of York
摘要：Linear estimators of the affine term structure model are inconsistent since they cannot reproduce the factors used in estimation. This is a serious handicap empirically,giving a worse fit than the conventional ML estimator that ensures consistency. We show that a simple self-consistent estimator can be constructed using the eigenvalue decomposition of a regression estimator. The remaining parameters of the model follow analytically. The fit of this model is virtually indistinguishable from that of the ML estimator. We apply the method to estimate various models of U.S. Treasury yields and a joint model of the U.S. and German yield curves.
关键词：term structure; linear regression estimators; self-consistent model; estimation methods; two-country model.