SMALL SAMPLE PROPERTIES OF THE REGRESSION TEST OF THE EXPECTATIONS MODEL OF THE TERM STRUCTURE

Authors
SCHOTMAN PC
Citation
Pc. Schotman, SMALL SAMPLE PROPERTIES OF THE REGRESSION TEST OF THE EXPECTATIONS MODEL OF THE TERM STRUCTURE, Economics letters, 57(2), 1997, pp. 129-134
Citations number
7
Journal title
Economics letters → ACNP
ISSN journal
01651765
Volume
57
Issue
2
Year of publication
1997
Pages
129 - 134
Database
ISI
SICI code
0165-1765(1997)57:2<129:SSPOTR>2.0.ZU;2-Z
Abstract
The econometric properties of the forecasting equation relating the ch ange of the long term interest rate to the lagged value of the spread are investigated. Due to the extremely low population R-2 of this mode l it can not be expected that we can produce any convincing empirical evidence against the expectations hypothesis. The results are illustra ted with a Monte Carlo experiment. (C) 1997 Elsevier Science S.A.