Take a look at Mike Cliff's web page. He has a GMM library for Matlab that has this as an example. He clearly describes the appropriate moment condition. ez "Michael Verhofen" <[EMAIL PROTECTED]> wrote in message news:[EMAIL PROTECTED] > Hi > I want to estimate a continuous time interest rate model (e.g. > Vasicek) with GMM and E-Views as described by James / Weber, Interest > Rate Modeling, Wiley, 2000 or Chan / Karolyi / Longstaff / Sanders, > Journal of Finance, 1992. > > My problem is the implementation of moment condition in E-Views. > Does anyone have some experience? > > Thanks. > > Kind regards > Michael
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