Title of article
Small sample properties of the regression test of the expectations model of the term structure
Author/Authors
Peter C. Schotman، نويسنده ,
Issue Information
روزنامه با شماره پیاپی سال 1997
Pages
6
From page
129
To page
134
Abstract
The econometric properties of the forecasting equation relating the change of the long term interest rate to the lagged value of the spread are investigated. Due to the extremely low population R2 of this model it can not be expected that we can produce any convincing empirical evidence against the expectations hypothesis. The results are illustrated with a Monte Carlo experiment
Keywords
Expectations hypothesis , Small sample bias , Term structure of interest rates
Journal title
Economics Letters
Serial Year
1997
Journal title
Economics Letters
Record number
434433
Link To Document