TBFF

<p>A dataset containing the monthly U.S. interest rate spread between the 3-month Treasury bill secondary
market rate and the effective federal funds rate from 1954 July to 2019 July (781 observations).
This series was studied in the empirical application of Virolainen (2021) introducing the
G-StMAR model.</p>

datasets

Maximum likelihood estimation of univariate Gaussian Mixture Autoregressive (GMAR),
Student's t Mixture Autoregressive (StMAR), and Gaussian and Student's t Mixture Autoregressive (G-StMAR) models,
quantile residual tests, graphical diagnostics, forecast and simulate from GMAR, StMAR and G-StMAR processes.
Leena Kalliovirta, Mika Meitz, Pentti Saikkonen (2015) <doi:10.1111/jtsa.12108>,
Mika Meitz, Daniel Preve, Pentti Saikkonen (2023) <doi:10.1080/03610926.2021.1916531>,
Savi Virolainen (2022) <doi:10.1515/snde-2020-0060>.

Savi Virolainen

uGMAR

Estimate Univariate Gaussian and Student's t Mixture
Autoregressive Models

TBFF function

<p>A class 'ts' time series object containing 781 observations.</p>

TBFF: Spread between the 3-month Treasury bill rate and the effective federal funds rate: TBFF

Description

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References