Alternative Tests of Rational Expectations Models: The Case of the Term Structure / Robert J. Shiller.

Format:

Book

Author/Creator:

Shiller, Robert J.

Contributor:

National Bureau of Economic Research.

Series:

Working Paper Series (National Bureau of Economic Research) no. w0563.

NBER working paper series no. w0563

Language:

English

Physical Description:

1 online resource: illustrations (black and white);

Other Title:

Alternative Tests of Rational Expectations Models

Place of Publication:

Cambridge, Mass. National Bureau of Economic Research 1980.

Summary:

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.

Notes:

Print version record

October 1980.