Robust GMM Estimators and Tests for Models of the Term Structure of Interest Rates
In 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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|Date of creation:||1997|
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