MODELLING THE GERMAN YIELD CURVE AND TESTING THE LUCAS CRITIQUE, 1975-2001

Carlos Santos () and Maria Alberta Oliveira

Applied Econometrics and International Development, 2007, vol. 7, issue 1

Abstract: In this paper, we build a model for the yield curve in Germany, from 1975 to 2001, and use it to test the Lucas Critique. We provide a first application of the new general-to-specific automatic model selection algorithm embodied in PcGets to term structure

Keywords: Super exogeneity; Lucas Critique; Term Structure; General-to-Specific (search for similar items in EconPapers)
JEL-codes: C12 C22 C51 E43 (search for similar items in EconPapers)
Date: 2007
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