TY  - JOUR
AU  - Shiller,Robert J.
TI  - Alternative Tests of Rational Expectations Models: The Case of the Term Structure
JF  - National Bureau of Economic Research Working Paper Series
VL  - No. 563
PY  - 1980
Y2  - October 1980
UR  - http://www.nber.org/papers/w0563
L1  - http://www.nber.org/papers/w0563.pdf
N1  - Author contact info:
Robert J. Shiller
Yale University, Cowles Foundation
Box 208281
30 Hillhouse Avenue
New Haven, CT  06520-8281
Tel: 203/432-3708
Fax: 203/432-6167
E-Mail: robert.shiller@yale.edu
AB  - 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.
ER  -