[R-SIG-Finance] What does mean MidTau in Nelson-Siegel's model?

[Minerva Mora]

Hi!

I apologize for my english.
I'm working with the YieldCurve package in the estimation of the
Nelson-Siegel parameters. In this model, the arguments are: rate, maturity
and MidTau.

I don´t have problem with the rate and maturity, but i can´t understand the
MidTau, because the argument is: MidTau ------> vector which indicates
medium term maturity to maximize the beta_2 factor

My questions are:
1) What does mean medium term maturity int the MidTau? What does is this
argument for?
2) How many datas in the vector are good to obtain a good estimation? If i
have 77 datas of maturity. I asked this beacuse i sow in my several testing
that the results of the parameters changes if a put more datas or if i
remove datas from this vector, but sometimes the results doesn´t change.
3)If my maturity datas are since 0.03 months to 323 months, Which is the
best or the theorical month data to start in the vector of the midTau?

--
View this message in context: http://r.789695.n4.nabble.com/What-does-mean-MidTau-in-Nelson-Siegel-s-model-tp4621294.html
Sent from the Rmetrics mailing list archive at Nabble.com.