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From |
Suranjan Jayathilaka <u.s.s.jayathilaka@keele.ac.uk> |

To |
statalist@hsphsun2.harvard.edu |

Subject |
st: Term Structure Models |

Date |
Wed, 13 Feb 2013 13:56:46 -0800 |

Dear statalist, I have the below observation equation Xt; Xt= (p)+(q)Xt-1+(r)ert (1) p, q and r are VAR parameters, which can be estimated by running a VAR. Yield Yt is a linear function of An and Bn, where n is the time to maturity. An and Bn should satisfy the following recursive restrictions to rule out the arbitrage; Yt= An+BnXt+vt (2) Bn=B'n-1(q-rlamda1)-i' An=An-1+B'n-1(p-rlamda0)+(1/2)B'n-1rr'Bn-1 I need to estimate lamda0 and lamda1, while minimizing the sum of squared fitting errors of equation (2). There are codes to estimate these types of affine term structure models using MATLAB. However, is there any user written programme in Stata to estimate these types of models? If not, how can we do this in Stata? Thank you. Sadeeptha Jayathilaka * * For searches and help try: * http://www.stata.com/help.cgi?search * http://www.stata.com/support/faqs/resources/statalist-faq/ * http://www.ats.ucla.edu/stat/stata/

**Follow-Ups**:**st: Easy N-equation GMM syntax***From:*"Whelan, Paul" <paul.whelan07@imperial.ac.uk>

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