Alternative Tests of Rational Expectations Models: The Case of the Term Structure
Working Paper 0563
DOI 10.3386/w0563
Issue Date
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.
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Copy CitationRobert J. Shiller, "Alternative Tests of Rational Expectations Models: The Case of the Term Structure," NBER Working Paper 0563 (1980), https://doi.org/10.3386/w0563.
Published Versions
Shiller, Robert J. "Alternative Tests of Rational Expectations Models: The Case of the Term Structure." Journal of Econometrics, Vol. 16, (1981), pp. 71-87. citation courtesy of