Explaining anomalous inferences regarding the expectations theory Online publication date: Thu, 22-Jun-2006
by William E. Shambora
Global Business and Economics Review (GBER), Vol. 8, No. 3/4, 2006
Abstract: This paper examines inferences from two traditional tests of Expectations Hypothesis of the Term Structure (EHTS) under various models of the data generating process of the short-term interest rate. It is found that inference from these tests can be different under different models and that some of the tests most likely to support EHTS are those that are the least powerful.
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