Bataa, Erdenebat; Kim, Dong Heon; Osborn, Denise R. - Society for Computational Economics - SCE - 2006
We extend the vector autoregression (VAR) based expectations hypothesis (EH) test of term structure, considered in Bekaert & Hodrick (2001), B&H thereafter, using recent developments in bootstrap literature. Modifications include the use of wild bootstrap to allow for conditional...