Bergstrom, A. R.; Nowman, K. B. - In: Economic Notes 28 (1999) 1, pp. 25-41
type="main" xml:lang="en" <p>This paper considers the econometric estimation of a two-factor model of the short-term interest rate. We develop a procedure for the time series estimation of its parameters, based on recently developed Gaussian estimation methods which are extended to handle...</p>