Tax Effects in Term Structure Estimation
改进了McCulloch关于期限结构估计中税收效应的回归方程，检验了税收效应和异方差性，并寻找资本利得税率，发现未调整税收的方程存在显著税收偏差，且资本利得税在调整方程中被错误设定。
ABSTRACT This study is a refinement and an extension of an earlier study by McCulloch of tax effects in the regression equation for term structure estimation. This study includes tests for tax effects and heteroskedasticity, a reconsideration of the need for an instrumental variable, and a search for the capital gains tax rate in addition to the ordinary‐income tax rate. There are two major findings: (1) statistically significant tax‐induced bias in the non‐tax‐adjusted equation and (2) evidence that the capital gains tax is misspecified in the tax‐adjusted equation.