RT Journal Article SR Electronic T1 Panel Data Analysis of Japanese Government Bond Market JF The Journal of Fixed Income FD Institutional Investor Journals SP 41 OP 50 DO 10.3905/jfi.2001.319282 VO 10 IS 4 A1 Koichi Miyazaki A1 Hiroe Tsubaki YR 2001 UL https://pm-research.com/content/10/4/41.abstract AB The Cox-Ingersoll-Ross and Vasicek models are two broadly implemented spot rate models. There does not seem to be any comparison of the two models based on time series data of all maturity yields (panel data). It is difficult to compare them in the same circumstances because the non-central x-square distribution of the CIR model should be approximated by an appropriate normal distribution in application of a Kalman filter to panel data while the distribution of the Vasicek model follows a normal distribution without any approximation. Using a semiparametric estimation technique that does not assume any distribution for the models, the authors compare results for the panel data of the JGB market. They also examine whether two-factor extension of the models is effective and appropriate.