Testing the Expectations Theory of the Term Structure of Interest Rates Using Model-Selection Methods
John Chao () and
Additional contact information
Chiao Chaoshin: Institute of International Economics National Dong Hwa University
Studies in Nonlinear Dynamics & Econometrics, 1998, vol. 2, issue 4, 1-16
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 selectioni.e., the determination of lag length and cointegrating rank in a vector autoregressionand 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.
References: Add references at CitEc
Citations: View citations in EconPapers (2) Track citations by RSS feed
Downloads: (external link)
https://www.degruyter.com/view/j/snde.1998.2.4/snd ... .1032.xml?format=INT (text/html)
For access to full text, subscription to the journal or payment for the individual article is required.
This item may be available elsewhere in EconPapers: Search for items with the same title.
Export reference: BibTeX
RIS (EndNote, ProCite, RefMan)
Persistent link: https://EconPapers.repec.org/RePEc:bpj:sndecm:v:2:y:1998:i:4:n:1
Ordering information: This journal article can be ordered from
Access Statistics for this article
Studies in Nonlinear Dynamics & Econometrics is currently edited by Bruce Mizrach
More articles in Studies in Nonlinear Dynamics & Econometrics from De Gruyter
Bibliographic data for series maintained by Peter Golla ().