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"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?

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  • $\begingroup$ Can't you use that package along with the "vars" package? $\endgroup$
    – Lisa Ann
    Jul 13 '20 at 17:15
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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.

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