This paper develops new results for identification and estimation of Gaussian affine term structure models. We … numerical optimization. A separate contribution of the paper is the proposal of minimum-chi-square estimation as an alternative …

dynamics, ours nests I(1) behaviour, but unlike the nonstandard asymptotics in the autoregressive case, estimates of the … hypothesis testing and interval estimation are discussed, with central limit theorems for feasibly bias-corrected estimates …

We develop new procedures for maximum likelihood estimation of affine term structure models with spanned or unspanned … produces the same estimator as maximizing the likelihood. It improves the numerical behavior of estimation by eliminating …