# Is there a packages to estimate Diebold-Li Parameters in R?

"The models implemented are: Nelson-Siegel, Diebold-Li and Svensson" is written in the description of the packages "YieldCurve". However, I can't find a specific estimation function for the diebold-li parameters. How can I fix this problem with this packages or do you know other packages for the estimation?

• Can't you use that package along with the "vars" package? Jul 13 '20 at 17:15

Diebold/Li is not a separate yield-curve model: for a given cross-section of yields, they fix the shape parameter in Nelson-Siegel and then estimate the remaining parameters via linear regression. See Calibrating the Nelson-Siegel-Svensson Model. The function NSf in package in package NMOF, which I maintain, sets up the factor loadings for Nelson-Siegel, as used by Diebold/Li.