haku: @indexterm RATIONAL EXPECTATIONS / yhteensä: 97
viite: 12 / 97
Tekijä: | Melino, A. |
Otsikko: | Estimation of a rational expectations model of the term structure |
Lehti: | Journal of Empirical Finance
2001 : DEC, VOL. 8:5, p. 639-668 |
Asiasana: | AUTOREGRESSION RATIONAL EXPECTATIONS TERM STRUCTURE OF INTEREST RATES |
Kieli: | eng |
Tiivistelmä: | This paper shows how to represent a vector autoregression (VAR) in terms of the eigenvalues and eigenvectors of its companion matrix. This representation is used to impose the exact restrictions implied by the expectations hypothesis on the VAR for short and long term interest rates and to calculate the restricted maximum likelihood estimates. |
SCIMA