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Alternative tests of rational expectations models : The case of the term structure

  • Shiller, Robert J.

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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File URL: http://www.sciencedirect.com/science/article/B6VC0-45H2TBT-1F/2/b79f4efadee95fa96cb48bb8250d210f
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Article provided by Elsevier in its journal Journal of Econometrics.

Volume (Year): 16 (1981)
Issue (Month): 1 (May)
Pages: 71-87

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Handle: RePEc:eee:econom:v:16:y:1981:i:1:p:71-87
Contact details of provider: Web page: http://www.elsevier.com/locate/jeconom

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  1. Shiller, Robert J, 1981. "Do Stock Prices Move Too Much to be Justified by Subsequent Changes in Dividends?," American Economic Review, American Economic Association, vol. 71(3), pages 421-36, June.
  2. Richard, Scott F., 1978. "An arbitrage model of the term structure of interest rates," Journal of Financial Economics, Elsevier, vol. 6(1), pages 33-57, March.
  3. Thomas J. Sargent, 1978. "A note on maximum likelihood estimation of the rational expectations model of the term structure," Staff Report 26, Federal Reserve Bank of Minneapolis.
  4. Bildersee, John S, 1975. "Some New Bond Indexes," The Journal of Business, University of Chicago Press, vol. 48(4), pages 506-25, October.
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