estim_nss.zeroyields: S3 estim_nss Method

In termstrc: Zero-coupon Yield Curve Estimation

Description

The method performs an iterative term structure estimation procedure on a dynamic yield data set of the class "zeroyields". Available methods are Nelson/Siegel, Diebold/Li and (adjusted) Svensson.

Usage

## S3 method for class 'zeroyields'
estim_nss(dataset, method = "ns",
 lambda = 0.0609 *12, tauconstr = NULL, optimtype = "firstglobal",
 constrOptimOptions = list(control = list(),
 outer.iterations = 200, outer.eps = 1e-04), ...)

Arguments

dataset	dynamic bond data set of the class "zeroyields"
method	"ns" for Nelson/Siegel (default), "dl" for Diebold/Li, "sv" for Svensson or "asv" for adjusted Svensson.
lambda	parameter on a yearly time scale with fixed value for "dl" spot rate function (default: 0.0609*12)
tauconstr	This is vector with parameters for the grid search procedure containing: For parametrizations except Diebold/Li, a grid search for the tau-parameter is performed. The parameters must lie within the following bounds. lower bound < [tau_1, tau_2] < upper bound The width of the grid is given by gridsize. tau_2 - tau_1 > taudistance (upper bound, lower bound, gridsize, tau distance)
optimtype	use "firstglobal" for an inital search for globally optimal start parameters or "allglobal" for a search at every iteration.
constrOptimOptions	list with solver control parameters (default: control=list(), outer.interations=30, outer.eps.=1e-04). For further documentation please refer to optim
...	further arguments

Value

The method returns an object of the class "dyntermstrc_yields". There are print, plot and summary method available.

References

Michiel De Pooter (2007): Examining the Nelson-Siegel Class of Term Structure Models: In-Sample Fit versus Out-of-Sample Forecasting Performance, Working paper.

F.X. Diebold and C. Li: Forecasting the Term Structure of Government Bond Yields. Journal of Econometrics, 130:337–364.

Charles R. Nelson and Andrew F. Siegel (1987): Parsimonious Modeling of Yield Curves. The Journal of Business, 60(4):473–489.

Lars E.O. Svensson (1994): Estimating and Interpreting Forward Interest Rates: Sweden 1992 -1994. Technical Reports 4871, National Bureau of Economic Research.

Examples

## Run: demo(zeroyields)

termstrc documentation built on May 29, 2017, 1:05 p.m.