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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Length: 35 pages Date of creation: 1997 Date of revision: Handle: RePEc:gen:geneem:97.02
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Find related papers by JEL classification: E43 - Macroeconomics and Monetary Economics - - Money and Interest Rates - - - Determination of Interest Rates; Term Structure of Interest Rates C52 - Mathematical and Quantitative Methods - - Econometric Modeling - - - Model Evaluation and Testing