Alternative tests of rational expectations models : The case of the term structure
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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- Robert J. Shiller, 1980.
"Do Stock Prices Move Too Much to be Justified by Subsequent Changes in Dividends?,"
NBER Working Papers
0456, National Bureau of Economic Research, Inc.
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- Thomas J. Sargent, 1978.
"A note on maximum likelihood estimation of the rational expectations model of the term structure,"
26, Federal Reserve Bank of Minneapolis.
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- 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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