Testing the predictive power of the term structure without data snooping bias

Yi-Cheng Kao, Chung-Ming Kuan () and Shikuan Chen

Economics Letters, 2013, vol. 121, issue 3, 546-549

Abstract: It is well documented that the term structure of interest rates has predictive power for real economic growth. Applying the stepwise superior predictive ability test, we find that superior models contain both a short-term rate and a term spread.

Keywords: Data snooping; GDP growth; Stepwise SPA test; Term spread (search for similar items in EconPapers)
JEL-codes: C12 C52 E27 E43 (search for similar items in EconPapers)
Date: 2013
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Citations: View citations in EconPapers (2)

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Persistent link: https://EconPapers.repec.org/RePEc:eee:ecolet:v:121:y:2013:i:3:p:546-549

DOI: 10.1016/j.econlet.2013.10.020

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