
On the Estimation of Term Structure Models and an Application to the United States (Medeiros C. I., Rodriguez Waldo M., Salvati J., Jiangbo Y.)Interest Rates
Abstract 
This paper discusses the estimation of models of the term structure of interest rates. After reviewing the term structure models, specifically the NelsonSiegel Model and Affine TermStructure Model, this paper estimates the terms structure of Treasury bond yields for the United States with precrisis data. This paper uses a software developed by Fund staff for this purpose. This software makes it possible to estimate the term structure using at least nine models, while opening up the possibility of generating simulated paths of the term structure. 
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Medeiros C. I., Rodriguez Waldo M., Salvati J., Jiangbo Y. (2010) "On the Estimation of Term Structure Models and an Application to the United States", IMF Working Paper No. 10/258, pp. 1  63 

