## Alternative Tests of Rational Expectations Models: The Case of the Term StructureA 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 |

### What people are saying - Write a review

We haven't found any reviews in the usual places.

### Common terms and phrases

1050 Massachusetts Avenue alternative hypothesis Alternative Tests Analytical Record autocovariance function autoregressive Buiter Bureau of Economic coefficient complete vector coupon data set defined distribution of Rt+1 easily interpreted alternative expectations hypothesis high spread histogram i-period bond implies inequality Jon Frye likelihood ratio test linearized forward rate linearized one-period holding linearized version long rates Long-Term Interest Rates maturing at tine Maurice Obstfeld Monetary months National Bureau number in column Numbers in parentheses one-period holding yield one-period rate ordinary least squares period forward rate posterior odds ratio prior rate series rational expectations model recursive substitution regression tests residuals Rodney White Center Rt+K Rudiger Dornbusch sample period Sargent Shiller and Modigliani Shiller l979 short rates Simple Expectations Model standard deviation straightforward linear restrictions Sutch t+i t Table tend to indicate term interest rates term structure Tests of Rational var(H variables Willem H yield curve Yield Spreads yield to maturity zero