The authors compare estimation of spot and implied forward interest rates from Swedish Treasury bill and government bond yields with two functional forms, the simple Nelson and Siegel (NS) and the complex Longstaff and Schwartz (LS). Monetary policy rather than financial analysis is in focus,...

The authors first discuss performance evaluation using stochastic discount factors and relate it to traditional mean-variance analysis. They then use Monte Carlo experiments to examine the properties of various general method of moment (GMM) estimators. The test statistics are fairly well...