summary.dyntermstrc_param

object of the class <code>"dyntermstrc_param"</code>.

object

use <code>"trend"</code> and a trend is considered for the
    unit root test (default: <code>"none"</code>).

type

 number of lags for unit root test function
    <code>ur.df</code> from package <code>urca</code> (default:<code>1</code>)

lags

leg selection flag for function <code>ur.df</code> from
    package <code>urca</code> (default: <code>"Fixed"</code>).

selectlags

S3 summary method for objects of the class <code>"dyntermstrc_param"</code>.

The package offers a wide range of functions for term
structure estimation based on static and dynamic coupon bond
and yield data sets. The implementation focuses on the cubic
splines approach of McCulloch (1971, 1975) and the Nelson and
Siegel (1987) method with extensions by Svensson (1994),
Diebold and Li (2006) and De Pooter (2007). We propose a
weighted constrained optimization procedure with analytical
gradients and a globally optimal start parameter search
algorithm. Extensive summary statistics and plots are provided
to compare the results of the different estimation methods.
Several demos are available using data from European government
bonds and yields.

summary.dyntermstrc_param: S3 Summary Method

Description

Usage

Arguments

Value

Details