This text evaluates the empirical models of the Term Structure of Interest Rates, comparing the resulting estimates regarding goodness-of-fit, robustness to outliers, and smoothness. In addition to the descriptive statistics on these metrics, the Friedman test and the multiple comparison procedure were used to assess the statistical significance of differences among the models. Literature usually considers nonparametric or spline models in addition to the parsimonious function models, derived from Nelson & Siegel(1987)'s seminal work. We expand this set of models by considering LOESS and two Kernel regression specifications. For the evaluation, we used data from Brazilian interest rate derivatives over 1313 working days. Considering the surveyed literature, applying LOESS and Kernel regression and the use of multiple comparison procedure in the context of yield curve estimation are novel contributions.
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