Alternative Tests of Rational Expectations Models: The Case of the Term Structure
Working Paper 0563
DOI 10.3386/w0563
Issue Date
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.
Published Versions
Shiller, Robert J. "Alternative Tests of Rational Expectations Models: The Case of the Term Structure." Journal of Econometrics, Vol. 16, (1981), pp. 71-87. citation courtesy of