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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Year of publication:	1997
Authors:	Ronchetti, Elvezio ; Trojani, Fabio
Institutions:	Institut d'Economie et Econométrie, Université de Genève
Subject:	Tests \| Evaluation \| Interest Rate

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Series:	Research Papers by the Institute of Economics and Econometrics, Geneva School of Economics and Management, University of Geneva.
Type of publication:	Book / Working Paper
Notes:	35 pages
Classification:	E43 - Determination of Interest Rates; Term Structure Interest Rates ; C52 - Model Evaluation and Testing
Source:	RePEc - Research Papers in Economics

Persistent link: https://ebvufind01.dmz1.zbw.eu/10005727733