I am attempting to gain a better understanding of the limitations of the Nelson-Siegel model as described in Estimating the Yield Curve Using the Nelson-Siegel Model.
As I have been playing around with the data I started to wonder whether the inputs to the Nelson-Siegel model are correct. I am using Daily Treasury YieldCurve Rates and estimating the model through the R YieldCurve package. It has been my understanding that spot rates need to be derived from observable par yields before applying any modelling. This understanding, I believe, has been confirmed at a separate discussion. But documentation of the relevant R packages fails to mention which rates should be supplied.
Should the input to the Nelson-Siegel model, in general and with respect to the R package, be the Daily Treasury YieldCurve Rates or should one bootstrap the spot rates before applying the model?