On the Expectations Hypothesis in US Term Structure
نویسندگان
چکیده
We extend the vector autoregression (VAR) based expectations hypothesis test of term structure, considered in Bekaert & Hodrick (2001) using recent developments in bootstrap literature. Modifications include the use of wild bootstrap to allow for conditional heteroskedasticity in the VAR residuals without imposing strict parameterization, endogeneous model selection procedure in the bootstrap replications to reflect true uncertainty and the stationarity correction designed to prevent finitesample bias adjusted VAR parameters from becoming explosive. JEL classification: G10; E43.
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