Cuthbertson, Keith; Hayes, Simon; Nitzsche, Dirk - In: The Manchester School of Economic & Social Studies 66 (1998) 1, pp. 27-43
The authors test the expectations hypothesis (EH) of the term structure using U.K. and German weekly data on short dated instruments with maturities up to one year. For both data sets comprising k interest rates the authors find that the rank of the cointegrating space is (k - 1); but they can...