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Iterative and Recursive Estimation in Structural Non-Adaptive Models

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Academic year: 2021

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Table 1. Kalman estimation results of the Vacisek model Parameter Specification of Ω 1 2 3 k 0.0612 0.0303 0.0213 (0.0098) (0.0046) (0.0031) c 0.0699 0.0741 0.0686 (0.0048) (0.0031) (0.0025) σ 0.0162 0.0153 0.0124 (0.0015) (0.0011) (0.0011) λ -0.0070 -0.00
Table 3. Maximum likelihood estimation results for the Vasicek model Yield (or combination of yields) without error Parameter y(τ 1 ) y(τ 2 ) y(τ 3 ) y(τ 4 ) PC
Table 4. Maximum likelihood estimation results for the CIR model Yield (or combination of yields) without error Parameter y(τ 1 ) y(τ 2 ) y(τ 3 ) y(τ 4 ) PC
Table 6. Extended backfitting estimation results for the CIR model Yield (or combination of yields) without error Parameter y(τ 1 ) y(τ 2 ) y(τ 3 ) PC

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