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| Tekijä: | Bekaert, G. Hodrick, R. J. Marshall, D. A. |
| Otsikko: | On biases in tests of expectations hypothesis of the term structure of interest rates |
| Lehti: | Journal of Financial Economics
1997 : JUN, VOL. 44:3, p. 309-348 |
| Asiasana: | INTEREST RATES EXPECTATIONS SAMPLING BIAS |
| Kieli: | eng |
| Tiivistelmä: | This article explores the small-sample properties of four commonly used tests of the expectations hypothesis of the term structure of interest rates. The study documents that the asymptotic distributions of the most of statistics presented are not to be trusted,even what seems like a large sample size. One surprising result of the study is the extreme positive bias in the slope coefficients of traditional single-equation regression tests. The main message is that it is imperative that researchers use well-designed Monte Carlo experiments with bias-adjusted parameters to assess the significance of their test statistics. |
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