RDP 2018-02: Affine Endeavour: Estimating a Joint Model of the Nominal and Real Term Structures of Interest Rates in Australia
Equation
Δ
X
t
+
1
=
μ
+
θ
X
t
+
∑
ε
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+
1
Δ
X
t
+
1
=
μ
˜
+
θ
˜
X
t
+
∑
ε
t
+
1
Q
r
t
=
ρ
0
+
ρ
1
′
X
t
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