fudanfudan1 发表于 2009-8-21 05:21 
I suggest you use Eviews, which seems much easier for beginners.
I myself is estimating term struct ...
Thx fudanfudan1, I'm recently following the two-factor CIR model in Eviews but face the problem that state variable n(-1) can not be added into the variance function, like below, how did you deal with this problem?
@state n=c(5)*(1-exp(-c(6)/52))+exp(-c(6)/52)*n(-1)+[ename=e1]
@evar var(e1)=c(3)^2*(1-exp(-c(2)/52))*(c(1)*(1-exp(-c(2)/52))/2+exp(-c(2)/52)*c(1)*n(-1))/c(2)
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