Diebold Li (2006) AR model

[Mkkl]

Hi there,

I have a question about the paper by Diebold and Li (2006). They estimated a time-series of three factors subsequently they want to forecast these parameters to forecast the yield curve. I have exactly the same estimated factors, however, when I want to forecast the factors I get different results. They say they model the factor B[t+h] = c + y*B[t] by a simple regression. However, when you perform this regression on simply the previous B, you will only get an estimate of for y and the constant c is always zero right?

Here is the paper

http://www.ssc.upenn.edu/~fdiebold/pape ... old-Li.pdf

Kind regards,

Michael