28
Views
4
CrossRef citations to date
0
Altmetric
Original Articles

Bootstrap testing of the expectations hypothesis with the term structure of interest rates

Pages 563-566 | Published online: 06 Oct 2010

References

  • Cuthbertson , K. , Hayes , S. and Nitzshce , D. 1998 . Interest rates in Germany and the UK: Cointegration and error correction models . The Manchester School , 66 : 27 – 43 .
  • Gredenhoff , M. and Jacobson , T. 1999 . Bootstrap testing of linear restrictions on cointegrating vectors , Department of Economic Statistics, Stockholm School of Economics . Working paper
  • Hall , A. D. , Anderson , H. M. and Granger , C. W. J. 1992 . A cointegration analysis of treasury bill yields . The Review of Economics and Statistics , 44 : 116 – 126 .
  • Haug , A. 1999 . Testing linear restrictions on cointegrating vectors: sizes and powers of Wald and Likelihood ratio tests in finite samples , University of Canterbury . Working paper
  • Hatanaka , M. 1996 . Time Series Based Econometrics: Unit Roots and Cointegration , Oxford University Press . Advanced Texts in Econometrics
  • Jacobsen , T. , Vredin , A. and Warne , A. 1998 . Are real wages and unemployment related? . Ecanomica , 65 : 69 – 96 .
  • Johansen , S. 1988 . Statistical analysis of cointegration vectors . Journal of Economics Dynamics and Control , 12 : 231 – 254 .
  • Johansen , S. 1991 . Estimation and hypothesis testing of cointegration vectors in Gaussian vector autoregressive models . Econometrica , 55 : 1551 – 1580 .
  • Johansen , S. 1995 . Likelihood-based Inference in Cointegrated Vector Autoregressive Models , Oxford University Press . Advanced Texts in Econometrics
  • Johansen , S. 1999 . A small sample correction for tests of hypotheses on the cointegrating vectors , EUI working paper ECO. No 99/9
  • Jondeau , E. and Ricart , R. 1999 . The expectations hypothesis of the term structure: tests on US, German, French and UK euro-rates . Journal of International Money and Finance , 18 : 725 – 750 .
  • Li , H. and Maddala , G. S. 1997 . Bootstrapping cointegrating regressions . Journal of Econometrics , 80 : 297 – 318 .

Reprints and Corporate Permissions

Please note: Selecting permissions does not provide access to the full text of the article, please see our help page How do I view content?

To request a reprint or corporate permissions for this article, please click on the relevant link below:

Academic Permissions

Please note: Selecting permissions does not provide access to the full text of the article, please see our help page How do I view content?

Obtain permissions instantly via Rightslink by clicking on the button below:

If you are unable to obtain permissions via Rightslink, please complete and submit this Permissions form. For more information, please visit our Permissions help page.