Bootstrap testing of the expectations hypothesis with the term structure of interest rates
The Expectations Hypothesis (EH) for the term structure of UK monthly interest rates is tested using Johansen's procedure. Differing results are found depending on the method of lag length selection. The application of the stationary bootstrap reconciles these results, lending support to the Expectations Hypothesis.
Volume (Year): 9 (2002)
Issue (Month): 9 ()
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