Jump to ContentJump to Main Navigation
Show Summary Details
More options …

Studies in Nonlinear Dynamics & Econometrics

Ed. by Mizrach, Bruce


IMPACT FACTOR 2017: 0.855

CiteScore 2017: 0.76

SCImago Journal Rank (SJR) 2017: 0.668
Source Normalized Impact per Paper (SNIP) 2017: 0.894

Mathematical Citation Quotient (MCQ) 2017: 0.02

Online
ISSN
1558-3708
See all formats and pricing
More options …
Volume 2, Issue 4

Issues

Testing the Expectations Theory of the Term Structure of Interest Rates Using Model-Selection Methods

John C. Chao / Chaoshin Chiao
Published Online: 1998-01-01 | DOI: https://doi.org/10.2202/1558-3708.1032

In this paper, we propose a model-selection approach to testing the expectations theory of the term structure of interest rates. Our method is based on the posterior information criterion (PIC) developed and analyzed by Phillips and Ploberger (1994, 1996) and extended to provide order estimation of cointegrating rank by Chao and Phillips (1997). This methodology has the advantage that issues of order selection—i.e., the determination of lag length and cointegrating rank in a vector autoregression—and hypothesis testing are treated within the same framework. Applying our procedure to interest-rate data from the International Financial Statistics, we find the expectations theory to be inconsistent with the data.

This article offers supplementary material which is provided at the end of the article.

Keywords: cointegration; expectations theory; integrated processes; model selection; PIC; term structure of interest rates; vector autoregression

About the article

Published Online: 1998-01-01


Citation Information: Studies in Nonlinear Dynamics & Econometrics, Volume 2, Issue 4, ISSN (Online) 1558-3708, DOI: https://doi.org/10.2202/1558-3708.1032.

Export Citation

©2011 Walter de Gruyter GmbH & Co. KG, Berlin/Boston.Get Permission

Supplementary Article Materials

Citing Articles

Here you can find all Crossref-listed publications in which this article is cited. If you would like to receive automatic email messages as soon as this article is cited in other publications, simply activate the “Citation Alert” on the top of this page.

[1]
Pär Sjölander
Applied Economics, 2011, Volume 43, Number 8, Page 1019

Comments (0)

Please log in or register to comment.
Log in