Robust GMM Estimators and Tests for Models of the Term Structure of Interest Rates
AbstractIn this paper we analyze the robustness properties of GMM estimators and GMM based tests, in view of an application to the robust estimation and comparison of some well known one factor models of the term structure of interest rates. We show that GMM estimators and tests are robust if and only if the function defining the orthogonality restrictions imposed on the model is bounded.
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Bibliographic InfoPaper provided by Institut d'Economie et Econométrie, Université de Genève in its series Research Papers by the Institute of Economics and Econometrics, Geneva School of Economics and Management, University of Geneva with number 97.02.
Length: 35 pages
Date of creation: 1997
Date of revision:
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Tests ; Evaluation ; Interest Rate;
Find related papers by JEL classification:
- E43 - Macroeconomics and Monetary Economics - - Money and Interest Rates - - - Interest Rates: Determination, Term Structure, and Effects
- C52 - Mathematical and Quantitative Methods - - Econometric Modeling - - - Model Evaluation, Validation, and Selection
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