@article{oai:uec.repo.nii.ac.jp:00006812,
 author = {Miyazaki, Koichi and Tsubaki, Hiroe},
 issue = {2},
 journal = {電気通信大学紀要},
 month = {Jan},
 note = {In the estimation of parameters of 1-factor spot rate model based on GMM, Chan, Karolyi, Longstaff and Sanders (1992) introduced moment conditions, which work very well in practice. However, they didnt refer how to select the conditions and how sensitive the estimation results are against the selection of the moment conditions. This article suggests the optimal strategy of the above selection in the CKLS model from the viewpoints of Heyde (1997)s quasi-likelihood and optimal estimating equation theory, which may not be fairly popular in the econometric field as in the biometric field and also clarifies that the derived optimal GMM estimators are asymptotically equivalent to their quasi-maximum likelihood estimates. In numerical examples, the parameter estimation results based on several moment conditions are provided in the case of CIR model and Vasicek model.},
 pages = {209--214},
 title = {On Selection of Moment Conditions in GMMfrom Viewpoints of Quasi-Likelihood},
 volume = {15},
 year = {2003}
}