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Using conventional techiques, several authors have rejected the rational expectations hypothesis at the long end of the German term structure of interest rates. The aim of this work is to challenge this finding with the help of robust estimations and testing methods. For this purpose, we extensively review the growing literature on robust unit roots tests and conduct a thorough Monte-Carlo study which yields evidences in favour of test statistics that are based on the assumption of an underlying Student's distribution.
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Analysis of the German term structure with robust cointegration methods, Kai Carstensen
- Sprache
- Erscheinungsdatum
- 2001
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- Titel
- Analysis of the German term structure with robust cointegration methods
- Sprache
- Englisch
- Autor*innen
- Kai Carstensen
- Verlag
- Pro Business
- Erscheinungsdatum
- 2001
- ISBN10
- 3934529658
- ISBN13
- 9783934529656
- Kategorie
- Skripten & Universitätslehrbücher
- Beschreibung
- Using conventional techiques, several authors have rejected the rational expectations hypothesis at the long end of the German term structure of interest rates. The aim of this work is to challenge this finding with the help of robust estimations and testing methods. For this purpose, we extensively review the growing literature on robust unit roots tests and conduct a thorough Monte-Carlo study which yields evidences in favour of test statistics that are based on the assumption of an underlying Student's distribution.