zeroyld

U.S. Term Structure Data, 1947-1991. Dataset used by Hansen and Seo (2002). The data contains the 12 month short rate and 120 month long rate.

datasets

Implements nonlinear autoregressive (AR) time series
        models. For univariate series, a non-parametric approach is
        available through additive nonlinear AR. Parametric modeling
        and testing for regime switching dynamics is available when the
        transition is either direct (TAR: threshold AR) or smooth
        (STAR: smooth transition AR, LSTAR). For multivariate series,
        one can estimate a range of TVAR or threshold cointegration
        TVECM models with two or three regimes. Tests can be conducted
        for TVAR as well as for TVECM (Hansen and Seo 2002 and Seo
        2006).

Antonio Fabio Di Narzo

tsDyn

Nonlinear time series models with regime switching

zeroyld function

Hansen, B. and Seo, B. (2002), Testing for two-regime threshold cointegration in vector error-correction models, Journal of Econometrics, 110, pages 293 - 318The data can be downloaded from: <url>http://www.ssc.wisc.edu/~bhansen/progs/joe_02r.zip</url>.The authors themselves took the data from the wepage of Huston McCulloch:
<url>http://www.econ.ohio-state.edu/jhm/ts/mcckwon/mccull.htm</url>

source

A data frame with 482 observations on 2 variables.
 <tabular>rlll</tabular>{
 <code>[,1]</code> 	<code>short.run</code> 	numeric 	Short term, 12 month<code>[,2]</code> 	<code>long.run</code> 	numeric 	Long term, 120 month
 }

zeroyld: zeroyld time series

Description

Arguments

source

format

See Also