Abstract
This paper tests the joint hypothesis of rational expectations model of the term structure for three- and six-month Treasury bills. Previous studies are extended in two main directions. First, the joint hypothesis is tested using weekly data for Treasury bills maturing in exactly 13 and 26 weeks beginning in 1970 and ending in 1979. In contrast, previous studies using comparable data have typically discarded 12/13 of the sample to a form a nonoverlapping data set. Second, a more complete set of possible determinants of time-varying premiums is tested.
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