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 t+1 Δ X t+1 = μ ˜ + θ ˜ X t +∑ ε t+1 Q r t = ρ 0 + ρ 1 ′ X t MathType@MTEF@5@5@+=feaagCart1ev2aaatCvAUfeBSjuyZL2yd9gzLbvyNv2CaerbuLwBLnhiov2DGi1BTfMBaeXatLxBI9gBaerbd9wDYLwzYbItLDharqqtubsr4rNCHbGeaGqiVu0Je9sqqrpepC0xbbL8F4rqqrFfpeea0xe9Lq=Jc9vqaqpepm0xbba9pwe9Q8fs0=yqaqpepae9pg0FirpepeKkFr0xfr=xfr=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@6B94@