Testing the single-factor model in the presence of persistent regressors

This paper re-examines the empirical results of Cochrane and Piazzesi (2005). After taking into account the sample information about forward rates, we still support their empirical findings.

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Year of publication:	2012
Authors:	Miyanishi, Masako
Published in:	Economics Letters. - Elsevier, ISSN 0165-1765. - Vol. 116.2012, 3, p. 634-636
Publisher:	Elsevier
Subject:	Bonferroni test \| Bond risk premia \| Near unit root \| Predictability

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Type of publication:	Article
Classification:	C12 - Hypothesis Testing ; G1 - General Financial Markets
Source:	RePEc - Research Papers in Economics

Persistent link: https://www.econbiz.de/10010594061