Testing the predictive power of the term structure without data snooping bias

It is well documented that the term structure of interest rates has predictive power for real economic growth. Applying the stepwise superior predictive ability test, we find that superior models contain both a short-term rate and a term spread.

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Year of publication:	2013
Authors:	Kao, Yi-Cheng ; Kuan, Chung-Ming ; Chen, Shikuan
Published in:	Economics Letters. - Elsevier, ISSN 0165-1765. - Vol. 121.2013, 3, p. 546-549
Publisher:	Elsevier
Subject:	Data snooping \| GDP growth \| Stepwise SPA test \| Term spread

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Type of publication:	Article
Classification:	E43 - Determination of Interest Rates; Term Structure Interest Rates ; E27 - Forecasting and Simulation ; C12 - Hypothesis Testing ; C52 - Model Evaluation and Testing
Source:	RePEc - Research Papers in Economics

Persistent link: https://www.econbiz.de/10010729444