A Test of the Cox, Ingersoll, and Ross Model of the Term Structure
用广义矩方法检验了Cox、Ingersoll和Ross的指数债券期限结构模型，发现该模型能较好解释短期国债收益，但对实际国债收益的序列相关性解释力不足。
We test the theory of the term structure of indexed-bond prices due to Cox, Ingersoll, and Ross (CIR). The econometric method uses Hansen's generalized method of moments and exploits the probability distribution of the single-state variable in CIR's model, thus avoiding the use of aggregate consumption data. It enables us to estimate a continuous-time model based on discretely sampled data. The tests indicate that CIR's model for index bonds performs reasonably well when confronted with short-term Treasury-bill returns. The estimates indicate that term premiums are positive and that yield curves can take several shapes. However, the fitted model does poorly in explaining the serial correlation in real Treasury-bill returns.