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Uncovering financial markets' beliefs about inflation targets (replication data)
This paper exploits the term structure of interest rates to develop testable economic restrictions on the joint process of long-term interest rates and inflation when the latter... -
Mixed MNL models for discrete response (replication data)
This paper considers mixed, or random coefficients, multinomial logit (MMNL) models for discrete response, and establishes the following results. Under mild regularity... -
Near unit roots, cointegration, and the term structure of interest rates (rep...
The term structure of interest rates is often modelled as a cointegrated system with the yield spreads forming the cointegrating vectors. Testing whether the yield spreads span... -
Tests for multiple forecast encompassing (replication data)
In the evaluation of economic forecasts, it is frequently the case that comparisons are made between a number of competing predictors. A natural question to ask in such contexts...
