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- Tue Jul 06, 2010 9:05 am
- Forum: Estimation
- Topic: unlinear GMM system estimation
- Replies: 3
- Views: 6033
Interest rate modelling using GMM
hi allan and Gareth, nice to meet you guys. This is the first time i encounter GMM equation. I try to redo the research of CKLS (1992). The equation is simpler than allan's equation, where (pls look at my attachment for better view) rt-rt-1 = a + brt +e E(e)=0 and E(e^2)=variance^square*rt*gamma In ...