Question relate to Nonlinear Least Squares
Posted: Thu Mar 06, 2014 2:27 am
I want to estimate the Nelson-Siegel model using Nonlinear Least Squares. The Nelson-Siegel model is defined as
yield=c(1)+c(2)*((1-exp(-c(4)*maturity))/c(4)*maturity)+c(3)*(((1-exp(-c(4)*maturity))/c(4)*maturity)-exp(c(4)*maturity))
where the data looks like yield=[0.2, 0.4, 0.3, 0.6, 0.25, 0.1, 0.32, 0.5]
and maturity is [1, 3, 6, 12, 24, 36, 48, 60].
After I type the above equation into the estimation box and click estimate, Eviews says "Division by zero". What am I missing here? And, how can I fix it?
yield=c(1)+c(2)*((1-exp(-c(4)*maturity))/c(4)*maturity)+c(3)*(((1-exp(-c(4)*maturity))/c(4)*maturity)-exp(c(4)*maturity))
where the data looks like yield=[0.2, 0.4, 0.3, 0.6, 0.25, 0.1, 0.32, 0.5]
and maturity is [1, 3, 6, 12, 24, 36, 48, 60].
After I type the above equation into the estimation box and click estimate, Eviews says "Division by zero". What am I missing here? And, how can I fix it?