Chao, John; Chiao, Chaoshin - In: Studies in Nonlinear Dynamics & Econometrics 2 (1998) 4, pp. 115-131
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...
