Bauer, Michael D.; Rudebusch, Glenn D.; Wu, Jing Cynthia - In: American Economic Review 104 (2014) 1, pp. 323-37
Term premia implied by maximum likelihood estimates of affine term structure models are misleading because of small-sample bias. We show that accounting for this bias alters the conclusions about the trend, cycle, and macroeconomic determinants of the term premia estimated in Wright (2011). His...