Explaining the Failures of the Term Spread Models of the Rational Expectations Hypothesis of the Term Structure

Elias Tzavalis · Michael R. Wickens

105 citations0/0 files storedJournal of money credit and banking

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Abstract

Elias Tzavalis, Michael R. Wickens, Explaining the Failures of the Term Spread Models of the Rational Expectations Hypothesis of the Term Structure, Journal of Money, Credit and Banking, Vol. 29, No. 3 (Aug., 1997), pp. 364-380

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References

1988Statistical analysis of cointegration vectors 1981Likelihood Ratio Statistics for Autoregressive Time Series with a Unit Root 1990MAXIMUM LIKELIHOOD ESTIMATION AND INFERENCE ON COINTEGRATION — WITH APPLICATIONS TO THE DEMAND FOR MONEY 1939Value and Capital 1987Cointegration and Tests of Present Value Models 1980Forward Exchange Rates as Optimal Predictors of Future Spot Rates: An Econometric Analysis 1995Unit Root Tests in ARMA Models with Data-Dependent Methods for the Selection of the Truncation Lag 1988Rational-expectations econometric analysis of changes in regime

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