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- W2214074121 abstract "We provide new evidence in favor of the expectation hypothesis (EH) as a long-run theory of the term structure of interest rates. Using nonparametric techniques, we show that the results of conventional tests that reject the EH are affected by the presence of extreme observations -- only a handful in the case of longer maturities. We use recursive estimation to provide a new method that determines statistically the number of outliers that cause a theory to fail, EH in this case. When we account for these rare peso effects, the results are very different from those previously discussed in the literature." @default.
- W2214074121 created "2016-06-24" @default.
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- W2214074121 date "2012-01-01" @default.
- W2214074121 modified "2023-09-23" @default.
- W2214074121 title "Outlier-Robust Evidence for the Expectation Hypothesis" @default.
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- W2214074121 doi "https://doi.org/10.2139/ssrn.2152057" @default.
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