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.
|Date of creation:||Oct 1980|
|Date of revision:|
|Publication status:||published as Shiller, Robert J. "Alternative Tests of Rational Expectations Models: The Case of the Term Structure." Journal of Econometrics, Vol. 16, (1981), pp. 71-87.|
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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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NBER Working Papers
0456, National Bureau of Economic Research, Inc.
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- Sargent, Thomas J., 1979.
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Elsevier, vol. 5(1), pages 133-143, January.
- 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.
- 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.
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