  This article investigates parameter estimation of affine term structure
models by means of the generalized method of moments. Exact moments of the
affine latent process as well as of the yields are obtained by using results
derived for p-polynomial processes. Then the generalized method of moments,
combined with Quasi-Bayesian methods, is used to get reliable parameter
estimates and to perform inference. After a simulation study, the estimation
procedure is applied to empirical interest rate data.
