Analysis conducted by the Bank of Canada of six models looking at the relationship between the term structure of interest rates and the macroeconomy, found those following Diebold and Li's work performed the best.

The research, which compares the models' out-of-sample ability to forecast the transition density of zero-coupon rates, examined three models based on Diebold and Li's findings, two based on work by Ang and Piazzesi, and one that followed a regression approach motivated by empirical