Identification and Estimation of Gaussian Affine Term Structure Models

James D. Hamilton, Jing Cynthia Wu

NBER Working Paper No. 17772
Issued in January 2012

---- Acknowledgements -----

We are grateful to Michael Bauer, Bryan Brown, Frank Diebold, Ron Gallant, Ken Singleton, anonymous referees, and seminar participants at the University of Chicago, UCSD, Federal Reserve Board, Pennsylvania State University, Society for Financial Econometrics, Midwest Macroeconomics Conference, Rice University, University of Colorado, and the Federal Reserve Bank of San Francisco for comments on earlier drafts of this paper. The views expressed herein are those of the authors and do not necessarily reflect the views of the National Bureau of Economic Research.

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