zeroyld: zeroyld time series

In tsDyn: Nonlinear Time Series Models with Regime Switching

zeroyld time series

Description

U.S. Term Structure Data, 1951-1991. Dataset used by Hansen and Seo (2002). The data contains the 12 month short rate and 120 month long rate.

Usage

zeroyld
zeroyldMeta

Format

zeroyld contains two variables, while zeryldMeta contains also Year and Month columns.

zeroyld is a data frame with 482 observations and 2 variables:

short.run	numeric	Short term, 12 month
long.run	numeric	Long term, 120 month

Source

Hansen, B. and Seo, B. (2002), Testing for two-regime threshold cointegration in vector error-correction models, Journal of Econometrics, 110, pages 293 - 318

The data can be downloaded from: https://www.ssc.wisc.edu/~bhansen/progs/joe_02r.zip.

The authors themselves took the data from the webpage of Huston McCulloch: https://www.asc.ohio-state.edu/mcculloch.2/ts/mcckwon/mccull.htm

See Also

TVECM.HStest: Hansen and Seo test.

TVECM for estimating a TVECM.

Examples

data(zeroyldMeta)
plot(zeroyldMeta$Date, zeroyldMeta$short.run, type = "l", xlab = "Date", ylab ="Rate")
lines(zeroyldMeta$Date, zeroyldMeta$long.run, lty = 2)
legend("topleft", lty = c(1, 2), legend = c("Short rate: 12 months", "Long rate: 120 months"))

tsDyn documentation built on Oct. 31, 2024, 5:08 p.m.