Alternative Tests of Rational Expectations Models: The Case of the Term Structure
NBER Working Paper No. 563
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.
Document Object Identifier (DOI): 10.3386/w0563
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. citation courtesy of