Testing the single-factor model in the presence of persistent regressors

Masako Miyanishi

Economics Letters, 2012, vol. 116, issue 3, 634-636

Abstract: This paper re-examines the empirical results of Cochrane and Piazzesi (2005). After taking into account the sample information about forward rates, we still support their empirical findings.

Keywords: Bonferroni test; Bond risk premia; Near unit root; Predictability (search for similar items in EconPapers)
JEL-codes: C12 G1 (search for similar items in EconPapers)
Date: 2012
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Persistent link: https://EconPapers.repec.org/RePEc:eee:ecolet:v:116:y:2012:i:3:p:634-636

DOI: 10.1016/j.econlet.2012.07.006

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