1. The data
I spliced data from McCulloch and Kwon and Bliss. The entire
data set I used, including the out-of-sample period 1995 through 1998,
is
here.
The structure is
--- yields by maturity ----
year month 3m 6m 1y 2y
5y 10y
Yields are %/year.
The data through February 1991 are from McCulloch's home page
here.
After February 1991, the data are from Rob Bliss. I believe you
can order,
for a small charge, a CD containing a large panel data set and programs
used
for interpolating the data from
Dan Waggoner
Research Department
Federal Reserve Bank of Atlanta
104 Marietta Street NW
Atlanta, GA 30303-2713
2. Parameter estimates
The only parameter estimates I report in the paper are for "preferred"
specifications, which set a bunch of parameters to zero. An ASCII
file
containing parameter estimates for unconstrained specifications (all
seven of them) is
here.
3. Cross-sectional fitting errors
The estimation technique assumes that yields on 6-month, 2-year, and
10-year
bonds are measured without error. Therefore these yields can
be inverted to
determine the state vector. Yields on 3-month, 1-year, and 5-year
bonds
are measured with error. The implied cross-sectional errors in
fitting these latter
three yields are reported in the attached files. The only files
here are those
for the preferred model specifications in the paper; the essentially
affine
A_0(3) and A_1(3) models and the completely affine A_2(3) model.
These are in-sample cross-sectional errors for January 1952 through
December 1994.
The ASCII files do not have dates; row 1 corresponds to 1/1952 and
row 516
corresponds to 12/1994. The ordering of the columns is 3-month
error,
1-year error, and 5-year error. The errors are in decimal form
(i.e., multiply by
10000 to get basis point errors).