I estimate a dynamic term structure model on an unbalanced panel of Treasury coupon bonds, without relying on an interpolated zero-coupon yield curve. A linearity-generating model, which separates the parameters that govern the cross-sectional and time-series moments of the model, takes about 8 min to estimate on a sample of over 1 million bond prices. The traditional exponential affine model takes about 2 hr, because of a convexity term in coupon-bond prices that cannot be concentrated out of the cross-sectional likelihood. I quantify the on-the-run premium and a “notes versus bonds” premium from 1990 to 2017 in a single, easy-to-estimate no-arbitrage model. (JEL G12, G14, C33) Received: April 30, 2018; editorial decision November 3, 2020 by Editor Nikolai Roussanov

中文翻译：

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零息票收益率和债券价格的横截面

我估计了一个不平衡的国债息票债券面板上的动态期限结构模型，而不依赖于插值的零息票收益率曲线。线性生成模型将控制模型的横截面矩和时间序列矩的参数分开，对超过 100 万个债券价格的样本进行估计大约需要 8 分钟。传统的指数仿射模型需要大约 2 小时，因为息票债券价格中的凸性项不能集中在横截面可能性之外。我在一个易于估计的单一无套利模型中量化了 1990 年至 2017 年的运行溢价和“票据与债券”溢价。(JEL G12, G14, C33) 收稿日期：2018年4月30日；编辑决定 2020 年 11 月 3 日，编辑 Nikolai Roussanov