CIR parameters with panel data

KatyaEv · July 11th, 2006, 6:30 pm

Hi everyone,I am going to estimate CIR parameters with state space representation and using the Kalman Filter. I have two questions. 1) would the four parameters (including market price of risk) depend on the sample period of my dataset?2) if they do, what would be the criteria for the appropriate choice?Thanks a lot.

kitchenware · July 18th, 2006, 11:01 am

Hi Katyaev,These two papers from other posts may be relevent to answer your questionAffine Term-Structure Models: Theory and ImplementationCross Sectional versus Time Series Estimation of Term Structure Models: Empirical Results for the Dutch Bond MarketKitchenware