We introduce Indirect Robust Generalized Method of Moments (IRGMM), a new simulation-based estimation methodology, to model short-term interest rate processes. The primary advantage of IRGMM relative to classical estimators of the continuous-time short-rate diffusion processes is that it...

Indirect inference (Smith, 1993; Gouriéroux, Monfort and Renault, 1993) is a simulation-based estimation method dealing with econometric models whose likelihood function is intractable. Typical examples are diffusion models described by stochastic differential equations. A potential problem that...

We introduce Indirect Robust Generalized Method of Moments (IRGMM), a new simulation-based estimation methodology, to model short-term interest rate processes. The primary advantage of IRGMM relative to classical estimators of the continuous-time short-rate diffusion processes is that it...