Forthcoming, JF

Supplementary information

Posted January 26, 2001

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).