Simultaneous estimation of yield curves

AlexeyS — Tue, 09 Mar 2021 19:02:49 GMT

Hi,

My purpose is simultaneous estimation of 4 yield curves for four ratings : AAA, AA+, AA, AA- using Nelson Siegel Model.

I know how to estimate each one individually using proc model, but how can i estimate them simultaneous (using proc model or another proc)?

Another issue, are restrictions, that AA+ cannot cross AAA, AA cannot cross AA+, and AA- cannot cross AA.

Thank you

Re: Simultaneous estimation of yield curves

SteveDenham — Wed, 10 Mar 2021 13:29:22 GMT

Maybe PROC PANEL?

Try posting this in the Forecasting and Econometrics forum. it is specifically designed for questions of this sort.

SteveDenham