zeroyld: zeroyld time series


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.


A data frame with 482 observations on 2 variables.

[,1] numeric Short term, 12 month
[,2] numeric Long term, 120 month


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:

The authors themselves took the data from the wepage of Huston McCulloch:

See Also

TVECM.HStest: Hansen and Seo test.

TVECM for estimating a TVECM.

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