Testing the predictive power of the term structure without data snooping bias
Journal
Economics Letters
Journal Volume
121
Journal Issue
3
Pages
546-549
Date Issued
2013
Author(s)
Abstract
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. © 2013 Elsevier B.V.
Subjects
Data snooping; GDP growth; Stepwise SPA test; Term spread
SDGs
Type
journal article