Alternative Tests of Rational Expectations Models: The Case of the Term Structure
(406 K)
|
NBER Working Paper No. 563
Issued in October 1980
NBER Program(s): ME
A linearized version of the rational expectations models of the term structure is put forth in terms of a complete vector of equally spaced observations along the yield curve. A data series on intermediate maturity yields which meets the specifications of the model is presented. The model is tested against a specific and easily interpreted alternative. Earlier studies of rational expectations models, which used "volatility tests" or "likelihood ratio tests," are discussed.
Published: Shiller, Robert J. "Alternative Tests of Rational Expectations Models: The Case of the Term Structure." Journal of Econometrics, Vol. 16, (1981), pp. 71-87.
This paper is available as PDF (406 K) or via email.
Machine-readable bibliographic record -
MARC,
RIS,
BibTeX
|
|
|
About
Support
The research activities of the NBER are funded by grants from federal research agencies, by private foundations, and by generous donations from our corporate associates and from private individuals. The NBER is a non-profit, 501(c)(3) organization. For information on supporting the NBER, please contact:
Mr. Denis Healy, Director of Development
NBER
1050 Massachusetts Avenue
Cambridge, MA 02138-5398
ph: 617-868-3900
email: dhealy@nber.org
Close
