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Bekaert, Geert - 2000

. In addition to standard Wald tests, we formulate Lagrange Multiplier and Distance Metric tests which require estimation … under the non-linear constraints of the null hypotheses. Estimation under the null is achieved by iterating on approximate …

Persistent link: https://www.econbiz.de/10012471161

"Peso Problem" Explanations for Term Structure Anomalies

Bekaert, Geert - 1997

We examine the empirical evidence on the expectations hypothesis of the term structure of interest rates in the United States, the United Kingdom, and Germany using the Campbell-Shiller (1991) regressions and a vector-autoregressive" methodology. We argue that anomalies in the U.S. term...

Persistent link: https://www.econbiz.de/10012472666